Ruin under interest force and subexponential claims: A simple treatment

Insurance: Mathematics and Economics

Volumn 27, Issue 1, 2000, Pages 145-149

  Kalashnikov, Vladimir ^a   Konstantinides, Dimitrios ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b UNIVERSITY OF THE AEGEAN   (Greece)

Author keywords

Interest force; Risk model; Ruin probability; Subexponential distribution

Indexed keywords

EID: 0001093081     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00045-7     Document Type: Article

References (5)

1. Asmussen S. Subexpontential asymptotics for stochastic processes: extremal behavior, stationary distribution and first passage probabilities. The Annals of Applied Probability. 8:1998;354-374.
2. Embrechts, P., Klüppelberg, C., Mikosh, T., 1997. Extremal Events in Finance and Insurance. Springer, New York.
3. Klüppelberg C., Stadtmüller U. Ruin probabilities in the presence of heavy-tails and interest rates. Scandinavian Actuarial Journal. 1:1998;49-58.
4. Sundt B., Teugels J.L. Ruin estimates under interest force. Insurance: Mathematics and Economics. 16:1995;7-22.
5. Sundt B., Teugels J.L. The adjustment function in ruin estimates under interest force. Insurance: Mathematics and Economics. 19:1997;85-94.