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 ha...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.展开更多
基金Supported in part by the National Natural Science Foundation of China(10971157)the Fundamental Research Funds for the Central Universities of China(201274360)
基金This work was supported by the National Natural Science Foundation of China(Grant No.19801020).
文摘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.
