The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

Abstract

This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.

Keywords:

• Asymptotics
• constant interest rate
• Matuszewska index
• ruin probability
• subexponentiality

Acknowledgments

The author is gratefully acknowledge valuable discussions and recent joint works with Rob Kaas, Dimitrios Konstantinides, and Gurami Tsitsiashvili. The anonymous referee's careful reading and detailed comments considerably improved the presentation of the paper. This work was supported by the Dutch Organization for Scientific Research (Project No. NWO 42511013).

Notes

Qihe Tang. The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Scand. Acturial J. 2003; 3:229–240.

Qihe Tang

Additional information

Notes on contributors

Qihe Tang

Qihe Tang. The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Scand. Acturial J. 2003; 3:229–240. Qihe Tang