| Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model |
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| 作者姓名： | Chun Su Tao Jiang Qi-he Tang |
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| 作者单位： | Chun Su，Tao Jiang，Qi-he TangDepartment of Statistics and Finance，University of Science and Technology of China，Hefei 230026 |
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| 基金项目： | the National Natural Science Foundation of China (No.10071081)，the Special Foundation of USTC. |
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| 摘 要： | Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities (?)(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model.
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Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model |
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| Chun Su,Tao Jiang,Qi-he Tang.Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model[J].Acta Mathematicae Applicatae Sinica,2002,18(4):675-680. |
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| Authors: | Chun Su Tao Jiang Qi-he Tang |
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| Institution: | (1) Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026 (E-mail: suchun@ustc.edu.cn), CN |
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| Abstract: | Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities (?)(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model. |
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| Keywords: | Delayed renewal risk model heavy-tails ruin probability |
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