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Query: faculty: "FEB" and publication year: "2004"

AuthorQ. Tang
TitleThe ruin probability of a discrete time risk model under constant interest rate with heavy tails
JournalScandinavian Actuarial Journal
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThis 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 typeArticle
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