Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
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DOI：
10.1239/aap/1103662967
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发表时间：
2004-12
影响因子：
1.2
通讯作者：
Q. Tang;G. Tsitsiashvili
中科院分区：
文献类型：
--
作者：
Q. Tang;G. Tsitsiashvili
本文研究了离散时间随机经济环境下有限时间和无限时间破产概率。在保险风险（一个时间段内的总净损失）是延拓正则变化或快变尾的假设下，得到了破产概率的各种精确估计。特别是，得到的一些估计是一致的时间范围，因此适用于无限时间破产的情况。
This paper investigates the finite- and infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk - the total net loss within one time period - is extended-regularly-varying or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform with respect to the time horizon, and so apply in the case of infinite-time ruin.