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Second-Expansion of Ruin Probability With Regular Function Tails(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2009年02期
Page:
36-40
Research Field:
数学
Publishing date:

Info

Title:
Second-Expansion of Ruin Probability With Regular Function Tails
Author(s):
Su Huilin1; Wang Xiaoqian2; He Lei3
1.Institute of Science,PLA University of Science and Technology,Nanjing 211101,China
Keywords:
c lassical r isk m ode; l ruin probab ility;  integrated d istribution function;  regu la rly va ry ing function;  n-fo ld convo lu tion
PACS:
O211.6
DOI:
-
Abstract:
In th is paper, w e cons ide r the c lassical risk m ode.l A ssum ing that the ta il o f cla im-size is regular var iation. First w e get second-expansion of the n-fo ld convo lution tails of regular ly va ry ing func ion, then using famous Beekman. s form ula, w e g et the second-expans ion o f ru in probabilities, so the insurance com pany can know own com pensa tion ability w ell.

References:

[ 1] K l?ppe lberg C. Subexponen tia l d istr ibutions and integrated ta ils[ J]. J App l Probab, 1988, 25: 132-141.
[ 2] Fe llerW. An Introduction to Probab ility Theory and Its Application. Vo .l II[M ]. New York: JohnW iley& Sons, 1971.
[ 3] Em brechts P, K l?ppe lberg C, M ikosch T. Modelling Ex trem ed Even ts for Insurance and Finance[M ]. New York: Spring-Verlag,1997.

Memo

Memo:
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Last Update: 2013-04-23