Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims

In this paper, we investigate the asymptotic behavior of the finite-time ruin probability in a general risk model with constant interest force, in which the claims are of a widely upper orthant dependence structure, belonging to the intersection of long-tailed class and dominant variation class, and arriving according to an arbitrary counting process. The results we obtained can extend and improve some existing results.

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Year of publication:	2012
Authors:	Qingwu, Gao ; Peng, Gu ; Na, Jin
Published in:	Asia-Pacific Journal of Risk and Insurance. - De Gruyter. - Vol. 6.2012, 1, p. 1-16
Publisher:	De Gruyter

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010667116