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

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.

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Year of publication:	2012
Authors:	Bai, Xiaodong ; Song, Lixin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 9, p. 1718-1726
Publisher:	Elsevier
Subject:	Asymptotics \| Renewal risk model \| Conditional independence \| Random time absolute ruin probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039831