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Asymptotic behavior of random time absolute ruin probability with D∩L tailed and conditionally independent claim sizes

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  • Bai, Xiaodong
  • Song, Lixin

Abstract

Consider the probability of random time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. We assume that claim sizes Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩L. We obtain the asymptotic formula for the subclass of subexponential distributions.

Suggested Citation

  • Bai, Xiaodong & Song, Lixin, 2012. "Asymptotic behavior of random time absolute ruin probability with D∩L tailed and conditionally independent claim sizes," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1718-1726.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1718-1726
    DOI: 10.1016/j.spl.2012.05.010
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    References listed on IDEAS

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    1. Serguei Foss & Andrew Richards, 2010. "On Sums of Conditionally Independent Subexponential Random Variables," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 102-119, February.
    2. Hans Gerber & Hailiang Yang, 2007. "Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(3), pages 159-169.
    3. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
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    Cited by:

    1. Yu, Wenguang, 2013. "Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests," Economic Modelling, Elsevier, vol. 31(C), pages 625-634.

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