Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153396 | Statistics & Probability Letters | 2012 | 9 Pages |
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,…Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩LD∩L. We obtain the asymptotic formula for the subclass of subexponential distributions.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiaodong Bai, Lixin Song,