The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

Qihe Tang

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 3, 229-240

Abstract: This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.

Date: 2004
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DOI: 10.1080/03461230310017531

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