Article contents
Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative. Absolute ruin occurs at the moment when the surplus first drops below a critical value (a negative constant). We study the asymptotic properties of the absolute ruin probability of this model. First we investigate the asymptotic behavior of the absolute ruin probability when the claim size distribution is light tailed. Then we study the case where the common distribution of claim sizes are heavy tailed.
Keywords
- Type
- Research Article
- Information
- Copyright
- Copyright © Applied Probability Trust 2008
References
- 3
- Cited by