Tail equivalence relationships for ruin probabilities in several risk models

Feng Hu, Chuancun Yin and Zhaojun Zong

Applied Stochastic Models in Business and Industry, 2005, vol. 21, issue 6, 499-508

Abstract: This paper is a further investigation into the ruin probability ψ(x) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ(x). Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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https://doi.org/10.1002/asmb.601

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:21:y:2005:i:6:p:499-508

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