A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation

Jinzhu Li

Statistics & Probability Letters, 2017, vol. 127, issue C, 49-55

Abstract: In this note, we consider a renewal risk model with constant force of interest and Brownian perturbation. Assuming that the claim-size distribution function is from the subexponential class, we derive for the finite-time ruin probability a precise asymptotic expansion, which holds uniformly for any finite time horizon. Our result confirms the intuition that the asymptotic ruin probabilities of risk models with heavy-tailed claims are insensitive to the Brownian perturbation.

Keywords: Asymptotics; Brownian perturbation; Renewal risk model; Ruin probability; Subexponential class (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2017.03.028

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