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Article: The probabilities of absolute ruin in the renewal risk model with constant force of interest

TitleThe probabilities of absolute ruin in the renewal risk model with constant force of interest
Authors
Konstantinides, DGNg, KWTang, Q
KeywordsAbsolute ruin
Asymptotics
Constant force of interest
Convolution equivalence
Heavy tail
Renewal risk model
Issue Date2010
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, 2010, v. 47 n. 2, p. 323-334 How to Cite?
DOI: http://dx.doi.org/10.1239/jap/1276784894
AbstractIn this paper we consider the probabilities of finite- And infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest. In the particular case of the compound Poisson model, explicit asymptotic expressions for the finite- and infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression for the infinite-time absolute ruin probability. Conditional distributions of Poisson processes and probabilistic techniques regarding randomly weighted sums are employed in the course of this study. © Applied Probability Trust 2010.
Persistent Identifierhttp://hdl.handle.net/10722/129035
ISSN
0021-9002
2021 Impact Factor: 1.116
2020 SCImago Journal Rankings: 0.668
ISI Accession Number ID
WOS:000279511900002
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorKonstantinides, DGen_HK
dc.contributor.authorNg, KWen_HK
dc.contributor.authorTang, Qen_HK
dc.date.accessioned2010-12-21T09:54:41Z-
dc.date.available2010-12-21T09:54:41Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Applied Probability, 2010, v. 47 n. 2, p. 323-334en_HK
dc.identifier.issn0021-9002en_HK
dc.identifier.urihttp://hdl.handle.net/10722/129035-
dc.description.abstractIn this paper we consider the probabilities of finite- And infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest. In the particular case of the compound Poisson model, explicit asymptotic expressions for the finite- and infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression for the infinite-time absolute ruin probability. Conditional distributions of Poisson processes and probabilistic techniques regarding randomly weighted sums are employed in the course of this study. © Applied Probability Trust 2010.en_HK
dc.languageeng-
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.rightsJournal of Applied Probability. Copyright © Applied Probability Trust.-
dc.subjectAbsolute ruinen_HK
dc.subjectAsymptoticsen_HK
dc.subjectConstant force of interesten_HK
dc.subjectConvolution equivalenceen_HK
dc.subjectHeavy tailen_HK
dc.subjectRenewal risk modelen_HK
dc.titleThe probabilities of absolute ruin in the renewal risk model with constant force of interesten_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0021-9002&volume=47&issue=2&spage=323&epage=334&date=2010&atitle=The+probabilities+of+absolute+ruin+in+the+renewal+risk+model+with+constant+force+of+interest-
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1239/jap/1276784894en_HK
dc.identifier.scopuseid_2-s2.0-79953151084en_HK
dc.identifier.hkuros171348-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79953151084&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume47en_HK
dc.identifier.issue2en_HK
dc.identifier.spage323en_HK
dc.identifier.epage334en_HK
dc.identifier.isiWOS:000279511900002-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridKonstantinides, DG=6506229462en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridTang, Q=7201632128en_HK
dc.identifier.issnl0021-9002-

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