Ruin Probabilities for Large Claims in a Class of Generalized Cramer-Lundberg Model

Shi Zu Fang

doi:10.4028/www.scientific.net/AMR.433-440.2964

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 433-440Ruin Probabilities for Large Claims in a Class of...

Ruin Probabilities for Large Claims in a Class of Generalized Cramer-Lundberg Model

Abstract:

This paper investigates the ruin probabilities in a class of generalized Cramer-Lundberg model .Under the assumption that the claim sizes are heavy-tailed, we obtain a tail equivalence relationship of the ruin probabilities and establish a local asymptotic relationship for the ruin probabilities.

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Periodical:

Advanced Materials Research (Volumes 433-440)

Pages:

2964-2968

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.433-440.2964

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Online since:

January 2012

Authors:

Shi Zu Fang

Keywords:

Distribution, Heavy-Taileda, Risk Model, Ruin Probability, Stationary Stream of Random Events with Independent Increments

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References

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