The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asym...The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.展开更多
基金supported by National Natural Science Foundation of China (Grant Nos.10571167,70501028)the Beijing Sustentation Fund for Elitist (Grant No.20071D1600800421)+1 种基金the National Social Science Foundation of China (Grant No.05&ZD008)the Research Grant of Renmin University of China (Grant No.08XNA001)
文摘The ruin probability of the renewal risk model with investment strategy for a capital market index is investigated in this paper.For claim sizes with common distribution of extended regular variation,we study the asymptotic behaviour of the ruin probability.As a corollary,we establish a simple asymptotic formula for the ruin probability for the case of Pareto-like claims.
