Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate

Xiaodong Bai, Lixin Song and Yuebao Wang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 14, 2976-2983

Abstract: Consider the probability of random time ruin in the renewal risk model with the general nonnegative and non decreasing premium process and constant interest rate. We obtain a uniform asymptotic formula for random time τ and subexponential distribution.

Date: 2015
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DOI: 10.1080/03610926.2013.809242

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