The ruin probability of a discrete time risk model under constant interest rate with heavy tails

Authors
  • Q. Tang
Publication date 2004
Journal Scandinavian Actuarial Journal
Volume | Issue number 2004 | 3
Pages (from-to) 229-240
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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
Language English
Published at
https://doi.org/10.1080/03461230310017531 (Final published version)
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