Article ID Journal Published Year Pages File Type
1153396 Statistics & Probability Letters 2012 9 Pages PDF
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
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