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Asymptotics 1 Conditional independence 1 Random time absolute ruin probability 1 Renewal risk model 1
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Bai, Xiaodong 1 Song, Lixin 1
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Statistics & Probability Letters 1
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Asymptotic behavior of random time absolute ruin probability with D∩L tailed and conditionally independent claim sizes
Bai, Xiaodong; Song, Lixin - In: Statistics & Probability Letters 82 (2012) 9, pp. 1718-1726
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...
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