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The finite-time ruin probability of the compound Poisson model with constant interest force

Part of: Mathematical economics Applications Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Qihe Tang
Qihe Tang*
Affiliation:
Concordia University
*
∗Postal address: Department of Mathematics and Statistics, Concordia University, 7141 Sherbrooke Street West, Montreal, Quebec H4B 1R6, Canada. Email address: qtang@mathstat.concordia.ca
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Abstract

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In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

Keywords

Asymptoticsfinite-time ruin probabilityPoisson processregular variationsubexponentialityuniform asymptoticsuniform convergence

MSC classification

Primary: 91B30: Risk theory, insurance
Secondary: 60G70: Extreme value theory; extremal processes 62P05: Applications to actuarial sciences and financial mathematics
Type
Research Papers
Information
Journal of Applied Probability , Volume 42 , Issue 3 , September 2005 , pp. 608 - 619
Copyright
© Applied Probability Trust 2005 

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