Some Results about Ruin Probability in the Second Type of Generalized Delayed Renewal Risk Model

Shi Zu Fang

doi:10.4028/www.scientific.net/AMR.433-440.2969

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 433-440Some Results about Ruin Probability in the Second...

Some Results about Ruin Probability in the Second Type of Generalized Delayed Renewal Risk Model

Abstract:

In this paper we introduce the second type of generalized delayed renewal risk model and investigate its ruin probability. Under the assumption that the claim sizes are heavy-tailed, we obtain a tail equivalence relationship of the ruin probability and establish a local asymptotic relationship for the ruin probability.

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Periodical:

Advanced Materials Research (Volumes 433-440)

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2969-2973

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https://doi.org/10.4028/www.scientific.net/AMR.433-440.2969

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Online since:

January 2012

Authors:

Shi Zu Fang

Keywords:

Generalized Delayed Renewal Risk Mode, Heavy-Tailed Distributions, Renewal Risk Model, Ruin Probability

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