Ruin under interest force and subexponential claims: a simple treatment

Authors
Kalashnikov, V Konstantinides, D
Citation
V. Kalashnikov et D. Konstantinides, Ruin under interest force and subexponential claims: a simple treatment, INSUR MATH, 27(1), 2000, pp. 145-149
Citations number
5
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
27
Issue
1
Year of publication
2000
Pages
145 - 149
Database
ISI
SICI code
0167-6687(20000821)27:1<145:RUIFAS>2.0.ZU;2-D
Abstract
A simple proof of the asymptotic formula for the ruin probability of a risk process with a positive constant interest force [derived earlier by Asmuss en (Asmussen, S., 1998. The Annals of Applied Probability 8, 354-374)] is g iven. The proof is based on a formula obtained by Sundt and Teugels (Sundt, B., Teugels, J.L., 1995. Insurance: Mathematics and Economics 16, 7-22). ( C) 2000 Elsevier Science B.V. All rights reserved.