Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461230510006982
Reference12 articles.
1. Ruin probabilities in the presence of heavy-tails and interest rates
2. Ruin estimates under interest force
3. Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities
4. Ruin under interest force and subexponential claims: a simple treatment
5. Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails
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