Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails

Insurance: Mathematics and Economics

Volumn 31, Issue 3, 2002, Pages 447-460

  Konstantinides, Dimitrios ^a   Tang, Qihe ^b   Tsitsiashvili, Gurami ^c  

^a UNIVERSITY OF THE AEGEAN   (Greece)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c INSTITUTE OF APPLIED MATHEMATICS   (Russian Federation)

Author keywords

Classical risk model; Constant interest force; Subexponential distribution; The ruin probability

Indexed keywords

EID: 0037146859     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00189-0     Document Type: Article

References (16)

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