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
We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d.standard uniform random variables.T...We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d.standard uniform random variables.This extends a corresponding result of Korshunov.As an application,we generalize a result of Tang,the uniform asymptotic estimate for the finite-time ruin probability,to the whole strongly subexponential class.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.
基金supported by the National Natural Science Foundation of China (Grant No. 70471071)
文摘We establish an asymptotic relation for the large-deviation probabilities of the maxima of sums of subexponential random variables centered by multiples of order statistics of i.i.d.standard uniform random variables.This extends a corresponding result of Korshunov.As an application,we generalize a result of Tang,the uniform asymptotic estimate for the finite-time ruin probability,to the whole strongly subexponential class.
