The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

2014 ◽  
Vol 29 (2) ◽  
pp. 194-204 ◽  
Author(s):  
Yang Yang ◽  
Jin-guan Lin ◽  
Zhong-quan Tan
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Finite Time Ruin Probability

scholarly journals The finite-time ruin probability of the compound Poisson model with constant interest force

2005 ◽  
Vol 42 (03) ◽  
pp. 608-619 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Poisson Model ◽  
Compound Poisson ◽  
Finite Time Ruin Probability ◽  
Compound Poisson Model ◽  
Interest Force ◽  
Constant Interest Force ◽  
Claim Size Distribution ◽  
Constant Interest

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large. The formula is consistent with known results for the ultimate ruin probability and, in particular, is uniform for all time horizons when the claim size distribution is regularly varying tailed.

Sign in / Sign up

Export Citation Format

Share Document