Cultural advice

The Australian National University acknowledges, celebrates and pays our respects to the Ngunnawal and Ngambri people of the Canberra region and to all First Nations Australians on whose traditional lands we meet and work, and whose cultures are among the oldest continuing cultures in human history.

Aboriginal and Torres Strait Islander peoples are advised that ANU Library collections may include images, names, voices, and other representations of deceased persons.

Material in the collection may contain terms, language or views that reflect the period in which the item was created and may be considered inappropriate today.

Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

Date

Authors

Wang, Dingcheng

Publisher

Taylor & Francis Group

Abstract

At first the paper investigates the asymptotic behavior of the finite-time ruin probability with constant interest rate and subexponentially tailed claim sizes, which extends the result recently established by Tang[14] for the classical risk model to the

Keywords

Keywords: Mathematical models; Probability; Risk analysis; Asymptotic behavior; Constant interest rates; Counting process; Asymptotic analysis Asymptotic behavior; Constant interest rate; Counting process; Delayed renewal risk model; Finite-time ruin probability; Subexponentially tailed claim sizes

URI

http://hdl.handle.net/1885/31675

Collections

ANU Research Publications

Source

Stochastic Models

Type

Journal article

DOI

10.1080/15326340701826898

Restricted until

2037-12-31

Downloads

File

Description

01_Wang_Finite-Time_Ruin_Probability_2008.pdf (179.34 KB)