A local limit theorem for the probability of ruin  

作　　者：YIN Chuancun 

机构地区：[1]Department of Mathematics, Qufu Normal University, Qufu 273165, China

出　　处：《Science China Mathematics》2004年第5期711-721,共11页中国科学：数学（英文版）

基　　金：This work was supported by the National Natural Science Foundation of China(Grant No.19801020).

摘　　要：In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs to S(v) with v ≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.In this paper, we give a result on the local asymptotic behaviour of the probability of ruin in a continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs toS(v) withv ≥ 0, but where the Lundberg exponent of the underlying risk process does not exist.

关 键 词：Cramér-Lundberg model  ERLANG RISK model  PROBABILITY of ruin  subexponential distribution. 

分 类 号：N[自然科学总论]