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Article: Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest

TitleEstimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest
Authors
Zhu, JYang, H
KeywordsAbsolute ruin probability
Asymptotic results
Compound Poisson model
Credit and debit interest rates
Heavy-tailed and light-tailed distributions
Issue Date2008
PublisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html
Citation
Journal Of Applied Probability, 2008, v. 45 n. 3, p. 818-830 How to Cite?
DOI: http://dx.doi.org/10.1239/jap/1222441831
AbstractIn this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative. Absolute ruin occurs at the moment when the surplus first drops below a critical value (a negative constant). We study the asymptotic properties of the absolute ruin probability of this model. First we investigate the asymptotic behavior of the absolute ruin probability when the claim size distribution is light tailed. Then we study the case where the common distribution of claim sizes are heavy tailed. © Applied Probability Trust 2003.
Persistent Identifierhttp://hdl.handle.net/10722/59862
ISSN
0021-9002
2021 Impact Factor: 1.116
2020 SCImago Journal Rankings: 0.668
ISI Accession Number ID
WOS:000260171800018
Funding AgencyGrant Number
Hong Kong Special Administrative Region, China7050/05P
Funding Information:

We would like to thank the anonymous referee for helpful comments and suggestions. This research was supported by the Research Grants Council of the Hong KongSpecial Administrative Region, China (project number 7050/05P).

References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorZhu, Jen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-05-31T03:58:59Z-
dc.date.available2010-05-31T03:58:59Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal Of Applied Probability, 2008, v. 45 n. 3, p. 818-830en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59862-
dc.description.abstractIn this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative. Absolute ruin occurs at the moment when the surplus first drops below a critical value (a negative constant). We study the asymptotic properties of the absolute ruin probability of this model. First we investigate the asymptotic behavior of the absolute ruin probability when the claim size distribution is light tailed. Then we study the case where the common distribution of claim sizes are heavy tailed. © Applied Probability Trust 2003.en_HK
dc.languageengen_HK
dc.publisherApplied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.htmlen_HK
dc.relation.ispartofJournal of Applied Probabilityen_HK
dc.subjectAbsolute ruin probabilityen_HK
dc.subjectAsymptotic resultsen_HK
dc.subjectCompound Poisson modelen_HK
dc.subjectCredit and debit interest ratesen_HK
dc.subjectHeavy-tailed and light-tailed distributionsen_HK
dc.titleEstimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interesten_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=45&spage=818&epage=830&date=2008&atitle=Estimates+for+the+absolute+ruin+probability+in+the+compound+Poisson+risk+model+with+credit+and+debit+interesten_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1239/jap/1222441831en_HK
dc.identifier.scopuseid_2-s2.0-55549125210en_HK
dc.identifier.hkuros159262en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-55549125210&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume45en_HK
dc.identifier.issue3en_HK
dc.identifier.spage818en_HK
dc.identifier.epage830en_HK
dc.identifier.isiWOS:000260171800018-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridZhu, J=7405692247en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0021-9002-

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