The ruin probability of a discrete time risk model under constant interest rate with heavy tails
| Authors |
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| Publication date |
2004
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| Journal |
Scandinavian Actuarial Journal
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| Volume | Issue number |
2004 | 3
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| Pages (from-to) |
229-240
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| 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.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1080/03461230310017531
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