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

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  • Konstantinides, Dimitrios
  • Tang, Qihe
  • Tsitsiashvili, Gurami

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  • Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
    • Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:447-460
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    References listed on IDEAS

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    1. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    2. Asmussen, Søren & Kalashnikov, Vladimir & Konstantinides, Dimitrios & Klüppelberg, Claudia & Tsitsiashvili, Gurami, 2002. "A local limit theorem for random walk maxima with heavy tails," Statistics & Probability Letters, Elsevier, vol. 56(4), pages 399-404, February.
    3. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
    4. Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 85-94, April.
    5. Tang, Qihe & Su, Chun & Jiang, Tao & Zhang, Jinsong, 2001. "Large deviations for heavy-tailed random sums in compound renewal model," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 91-100, March.
    6. Kalashnikov, Vladimir & Konstantinides, Dimitrios, 2000. "Ruin under interest force and subexponential claims: a simple treatment," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 145-149, August.
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    Cited by:

    1. Yang, Haizhong & Sun, Suting, 2013. "Subexponentiality of the product of dependent random variables," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2039-2044.
    2. Olena Ragulina & Jonas Šiaulys, 2020. "Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy," Mathematics, MDPI, vol. 8(11), pages 1-35, October.
    3. Manman, Li & Zaiming, Liu & Hua, Dong, 2011. "Estimates for the optimal control policy in the presence of regulations and heavy tails," Economic Modelling, Elsevier, vol. 28(1), pages 482-488.
    4. Yang, Yang & Wang, Yuebao, 2010. "Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims," Statistics & Probability Letters, Elsevier, vol. 80(3-4), pages 143-154, February.
    5. Wang, Rongming & Yang, Hailiang & Wang, Hanxing, 2004. "On the distribution of surplus immediately after ruin under interest force and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 703-714, December.
    6. Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
    7. Bai, Xiaodong & Song, Lixin, 2011. "The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1891-1898.
    8. Kaiyong Wang & Yuebao Wang & Qingwu Gao, 2013. "Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 109-124, March.
    9. Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui, 2015. "Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 45-53.
    10. Manman, Li & Zaiming, Liu & Hua, Dong, 2011. "Estimates for the optimal control policy in the presence of regulations and heavy tails," Economic Modelling, Elsevier, vol. 28(1-2), pages 482-488, January.
    11. Chen, Yiqing & Ng, Kai W., 2007. "The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 415-423, May.
    12. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    13. Wei, Li, 2009. "Ruin probability in the presence of interest earnings and tax payments," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 133-138, August.
    14. Liu, Xijun & Gao, Qingwu & Wang, Yuebao, 2012. "A note on a dependent risk model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 707-712.
    15. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
    16. Peng, Jiangyan & Huang, Jin, 2010. "Ruin probability in a one-sided linear model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 662-669, April.

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