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

作者：Li, Jinzhu^*

来源：Statistics & Probability Letters, 2017, 127: 49-55.

DOI：10.1016/j.spl.2017.03.028

• Asymptotics
• Brownian perturbation
• Renewal risk model
• Ruin probability
• Subexponential class

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.

• 出版日期2017-8
• 单位南开大学