Acta mathematica scientia, Series B >
UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE
Received date: 2006-12-19
Revised date: 2008-10-07
Online published: 2010-05-20
Supported by
Partially supported by the National Natural Science Foundation of China (10671149), the Ministry of Education of China, the Natural Science Foundation of Jiangxi (2008GQS0035), and the Foundation of the Hubei Provincial Department of Education (B20091107)
We consider a discrete time risk model in which the net payout (insurance risk){Xk,, k=1,2, …} are assumed to take real values and belong to the heavy-tailed class L ∩ D and the discount factors (financial risk) {Yk, k=1, 2, …} concentrate on [θ, L], where 0<θ<1, L<∞, {Xk, k=1, 2, …}, and {Yk, k=1, 2, …} are assumed to be mutually independent. We investigate the asymptotic behavior of the ruin probability within a finite time horizon as the initial capital tends to infinity, and figure out that the convergence holds uniformly for all n≥1, which is different from Tang Q H and Tsitsiashvili G (Adv Appl Prob, 2004, 36: 1278--1299).
Key words： Random interest rate; finite time ruin ; probability; uniformity
MING Rui-Xing , HE Xiao-Xia , HU Yi-Jun , LIU Juan . UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE[J]. Acta mathematica scientia, Series B, 2010 , 30(3) : 688 -700 . DOI: 10.1016/S0252-9602(10)60070-7
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