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On the ruin probabilities in a general economic environment

Harri Nyrhinen

Stochastic Processes and their Applications, 1999, vol. 83, issue 2, 319-330

Abstract: Let {An n=1,2,...} and {Bn n=1,2,...} be sequences of random variables andYn=B1+A1B2+A1A2B3+...+A1...An-1Bn.Let M be a positive real number. Define the time of ruin by TM=inf{n Yn>M} (TM=+[infinity], if Yn[less-than-or-equals, slant]M for n=1,2,...). We are interested in the ruin probabilities for large M. We assume that the sequences {An} and {Bn} are independent and that the variables A1,A2,... are strictly positive. The sequences are allowed to be general in other respects. Our main objective is to give reasons for the crude estimate P(TM

Keywords: Insurance; mathematics; Ruin; problem; Level-crossing; probability; Stochastic; discounting; Large; deviations; theory (search for similar items in EconPapers)
Date: 1999
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Handle: RePEc:eee:spapps:v:83:y:1999:i:2:p:319-330