Authors
Dimitrios G Konstantinides, Kai W Ng, Qihe Tang
Publication date
2010/6
Journal
Journal of Applied Probability
Volume
47
Issue
2
Pages
323-334
Publisher
Cambridge University Press
Description
In this paper we consider the probabilities of finite- and infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest. In the particular case of the compound Poisson model, explicit asymptotic expressions for the finite- and infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression for the infinite-time absolute ruin probability. Conditional distributions of Poisson processes and probabilistic techniques regarding randomly weighted sums are employed in the course of this study.
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