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Asymptotics of discounted aggregate claims for renewal risk model with risky investment |
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| Authors: | Tao Jiang |
| Institution: | School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China |
| Abstract: | Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset,a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references. |
| Keywords: | Discounted aggregate claims ruin probability within finite horizon renewal risk model risky investment subexponential class |
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