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Konstantinides, Dimitrios; Tang, Qihe; Tsitsiashvili, Gurami

Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. (English) Zbl 1074.91029

Insur. Math. Econ. 31, No. 3, 447-460 (2002).
The paper studies the ruin probability in the classical risk model with homogeneous Poisson arrival process, constant premium rate and constant interest force. The case where the claim size is heavy-tailed, i.e. the equilibrium distribution function of the claim size belongs to a subclass of subexponential distributions, is considered. Accurate two-sided estimates for the ruin probability are obtained by reduction from the classical model without interest force. Some examples and numerical results are presented.
Reviewer: Georgy Osipenko (St. Peterburg)

Cited in 1 Review
Cited in 53 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)

Keywords:

classical risk model; constant interest force; ruin probability; subexponential distribution
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\textit{D. Konstantinides} et al., Insur. Math. Econ. 31, No. 3, 447--460 (2002; Zbl 1074.91029)
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