[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/BKMS.2003.40.4.663

A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION

Tang, Qihe (Department of Quantitative Economics, University of Amsterdam)

Publication Information

Bulletin of the Korean Mathematical Society / v.40, no.4, 2003 , pp. 663-669 More about this Journal

Abstract

This paper investigates the tail asymptotic behavior of the severity of ruin (the deficit at ruin) in the renewal model. Under the assumption that the tail probability of the claimsize is dominatedly varying, a uniform asymptotic formula for the tail probability of the deficit at ruin is obtained.

Keywords

asymptotics; heavy tails; ladder height; renewal risk model; the ruin probability; the tail probability;

Citations & Related Records

Reference

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