DocumentCode
2080427
Title
Asymptotics of Discounted Aggregate Claims for Renewal Model with Risky Investment
Author
Jiang, Tao
Author_Institution
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
5
Abstract
Under the assumption that the claimsize is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic formula of discounted aggregate claims for renewal risk model within finite horizon is obtained. The main results we derived extend the corresponding conclusion of related references.
Keywords
insurance; investment; discounted aggregate claims; finite horizon; insurance surplus; renewal model; risky investment; subexponentially distributed claimsize; Aggregates; Distribution functions; Equations; Exponential distribution; Finance; Insurance; Investments; Motion analysis; Random variables; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Electronic_ISBN
978-1-4244-4639-1
Type
conf
DOI
10.1109/ICMSS.2009.5301311
Filename
5301311
Link To Document