Asymptotics of discounted aggregate claims for renewal risk model with risky investment  

作　　者：JIANG Tao School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China 

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2010年第2期209-216,共8页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China(70871104);the Planning Project of the National Educational Bureau of China(08JA630078);the Project of Key Research Base of Human and Social Sciences(Finance) for Colleges in Zhejiang Province(Grant No. of Academic Education of Zhejiang [2008]255)

摘　　要：Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.

关 键 词：Discounted aggregate claims ruin probability within finite horizon renewal risk model risky investment subexponential class. 

分 类 号：O211.67[理学—概率论与数理统计] F832.48[理学—数学]