Query:
faculty: "FEB" and publication year: "2004"
| Author | Q. Tang | | Title | The ruin probability of a discrete time risk model under constant interest rate with heavy tails |
| Journal | Scandinavian Actuarial Journal |
| Volume | 3 |
| Year | 2004 |
| Issue | may |
| Pages | 229-240 |
| ISSN | 03461238 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results. |
| Document type | Article |
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