| Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails |
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| 作者姓名： | JIANG Tao & CHEN Yiqing School of Finance. Nanjing University of Finance and Economics Nanjing China School of Economics and Management Guangdong University of Technology Guangzhou China |
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| 作者单位： | JIANG Tao & CHEN Yiqing School of Finance. Nanjing University of Finance and Economics，Nanjing 210003，China; School of Economics and Management，Guangdong University of Technology，Guangzhou 510090，China |
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| 基金项目： | 国家自然科学基金，Philosophy and Social Science Foundation of the Education Department of Jiangsu Province |
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| 摘 要： | Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.
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Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails |
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| JIANG Tao & CHEN Yiqing School of Finance. Nanjing University of Finance and Economics,Nanjing ,China, School of Economics and Management,Guangdong University of Technology,Guangzhou ,China.Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails[J].Science in China(Mathematics),2005,48(3):300-306. |
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| Authors: | Email author" target="_blank">Tao?JiangEmail author Yiqing?Chen |
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| Institution: | 1. School of Finance, Nanjing University of Finance and Economics, Nanjing 210003, China
2. School of Economics and Management, Guangdong University of Technology, Guangzhou 510090, China |
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| Abstract: | Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model. |
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| Keywords: | geometric sums heavy-tailed distribution ladder height the equilibrium renewal model the ruin probability |
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