Title :
Finite Time Ruin Probability with Constant Interest Rate and Extended Regular Variation
Author :
Jiang, Tao ; Lai, Bin
Author_Institution :
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Abstract :
Consider an insurance risk model, in which the surplus process satisfies a recursive equation Un = Un-1(1 + r) - Xn for n ≥ 1, where, U0 = x ≥ 0 is the initial surplus, r > 0 is the constant interest rate, each Xn denotes the gross loss during the nth year, and Xn, n = 1, 2, ..., constitute a sequence of i.i.d. real valued r.v.´s with common d.f. F. This paper investigates the ruin probability within a finite horizon and obtains a simple and uniform asymptotic relation when the claimsize is of extended regular variation.
Keywords :
economic indicators; insurance; probability; risk analysis; constant interest rate; extended regular variation; finite horizon; finite time ruin probability; insurance risk model; recursive equation; surplus process; uniform asymptotic relation; Biological system modeling; Economic indicators; Equations; Finance; Insurance; Mathematical model; Random variables;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5576886