Acta mathematica scientia,Series A ›› 2012, Vol. 32 ›› Issue (2): 257-262.

• Articles •     Next Articles

Ruin Probability in a Risk Model under Unexpected Random Heavy-tailed Claims

 BI Xiu-Chun, ZHANG Shu-Guang   

  1. Department |of Statistic and Finance, University of Science and Technology of China, Hefei 230026
  • Received:2010-11-05 Revised:2011-12-06 Online:2012-04-25 Published:2012-04-25
  • Supported by:

    国家重点基础研究发展计划(2007CB814901)、国家自然科学基金(11171179, 11171321)和山东省自然科学基金(ZR2010AQ015)资助

Abstract:

This paper sets up a generalized renewal risk model based on zhe reality of existing unexpected heavy-tailed claims and gives tail equivalence relationship for the ruin probability, which indicates that unexpected heavy-tailed claims can result in ruin.

Key words: Ruin probability, Renewal risk model, Heavy-tailed distribution, Generalized renewal risk model

CLC Number: 

  • 60G50
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