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Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model
delayed renewal risk model heavy-tails ruin probability
2007/12/11
Embrechts and Veraverbeke~[2] investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, whic...
The Asymptotic Behavior of the Ruin Probability within a Random Horizon
Asymptotics extended regular variation class finite time ruin probability renewal model
2007/12/11
Subject to the assumption that the common distributionof claim sizes belongs to the extended regular variation class,the present work obtains a simple asymptotic formula for the ruinprobability within...