Abstract
Consider an insurance risk model, in which the surplus process satisfies a recursive equationU n =U n−1(1+r n )−X n forn≥1, whereU 0=x≥0 is the initial surplus, {r n ;n≥1} the interest rate sequence, {X n ;n≥1} the sequence of i. i. d. real-valued random variables with common distribution functionF, which denotes the gross loss during thenth year. We investigate the ruin probability within a finite time horizon and give the asymptotic result asx→∞.
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Foundation item: Supported by the National Natural Science Foundation of China (10071058, 70273029)
Biography: WEI Xiao (1979-), female, Ph. D candidate, research direction: large deviations and its applications, insurance mathematics.
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Xiao, W., Yi-jun, H. Finite time ruin probability with variable interest rate and extended regular variation. Wuhan Univ. J. Nat. Sci. 9, 863–866 (2004). https://doi.org/10.1007/BF02850787
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DOI: https://doi.org/10.1007/BF02850787