UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE

We consider a discrete time risk model in which the net payout （insurance risk） {Xk, k = 1, 2,...} are assumed to take real values and belong to the heavy-tailed class L∩ D and the discount factors （financial risk） {Yk, k = 1,2,...} concentrate on [θ, L], where 0 〈 0 〈 1, L 〈 ∞, {Xk, k = 1,2,...}, a...

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Bibliographic Details
Published in:Acta mathematica scientia 2010-05, Vol.30 (3), p.688-700
Main Author: 明瑞星 何晓霞 胡亦钧 刘娟
Format: Article
Language:English
Subjects:
60F99
60K99
amp
Asymptotic properties
Convergence
Discounts
Estimates
finite time ruin probability
Infinity
Mathematical analysis
Mathematical models
Random interest rate
Risk
uniformity
保险风险
有限时间区间
破产概率
随机利率
风险模型
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Summary:We consider a discrete time risk model in which the net payout （insurance risk） {Xk, k = 1, 2,...} are assumed to take real values and belong to the heavy-tailed class L∩ D and the discount factors （financial risk） {Yk, k = 1,2,...} concentrate on [θ, L], where 0 〈 0 〈 1, L 〈 ∞, {Xk, k = 1,2,...}, and {Yk, k=1,2,...} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n ≥ 1, which is different from Tang Q H and Tsitsiashvili G （Adv Appl Prob, 2004, 36： 1278-1299）.
ISSN:0252-9602
1572-9087
DOI:10.1016/S0252-9602(10)60070-7