The Finite Time Local Survival Probability of the Compound Poisson Model under the Heavy-tailed with Constant Interest Force
In recent years, the study of ruin probability under heavy-tailed distribution becomes more and more popular. This paper consider the large claims cases where the claim size distribution has a F regularly varying tail. We establish a simple asymptotic formulary with respect to large initial surplus for the finite time local survival probability of the compound Poisson model with constant interest force under heavy-tailed claims.
Interest Force Poisson Process Heavy-tailed Distribution Risk Model Local Survival Probability
ZHANG Xiuping ZHAO Mingqing LIU Jingsheng
College of Information Science and Engineering, Shandong University of Science and Technology, P.R.China, 266510
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-6
2008-08-14(万方平台首次上网日期,不代表论文的发表时间)