The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramér-Lundberg risk model, the ruin probabilities satisfy $R(x, \infty ) \sim \rho ^{ - 1} \bar F_e (x)$ if the claim sizes are heavy-...The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramér-Lundberg risk model, the ruin probabilities satisfy $R(x, \infty ) \sim \rho ^{ - 1} \bar F_e (x)$ if the claim sizes are heavy-tailed, where Fe denotes the equilibrium distribution of the common d.f. F of the i.i.d. claims, ? is the safety loading coefficient of the model and the limit process is for x → ∞. In this paper we obtain a related local asymptotic relationship for the ruin probabilities. In doing this we establish two lemmas regarding the n-fold convolution of subexponential equilibrium distributions, which are of significance on their own right.展开更多
Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 10071081).
文摘The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramér-Lundberg risk model, the ruin probabilities satisfy $R(x, \infty ) \sim \rho ^{ - 1} \bar F_e (x)$ if the claim sizes are heavy-tailed, where Fe denotes the equilibrium distribution of the common d.f. F of the i.i.d. claims, ? is the safety loading coefficient of the model and the limit process is for x → ∞. In this paper we obtain a related local asymptotic relationship for the ruin probabilities. In doing this we establish two lemmas regarding the n-fold convolution of subexponential equilibrium distributions, which are of significance on their own right.
基金Acknowledgements The authors are indebted to referee for his/her helpful comments.This work was supported by the National Natural Science Foundation of China(Grant No.70471071)Philosophy and Social Science Foundation of the Education Department of Jiangsu Province(Grant No.04SJB630005).
文摘Recently, Tang established a local asymptotic relation for the ruin probability in the Cramer-Lundberg risk model. In this short note we extend the corresponding result to the equilibrium renewal risk model.
