Abstract
In this paper, under the assumption that the claimsize is subexponentially distributed and the insurance capital is totally invested in risky asset, some simple asymptotics of finite horizon ruin probabilities are obtained for non-homogeneous Poisson process and conditional Poisson risk models as well as renewal risk model, when the initial capital is quite large. Extremal event is described in this case because some claim can be larger than initial capital even it is large enough. The results obtained extended the corresponding results of related papers in this area.
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© 2009 ICST Institute for Computer Science, Social Informatics and Telecommunications Engineering
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Jiang, T. (2009). Finite Time Ruin Probability in Non-standard Risk Model with Risky Investments. In: Zhou, J. (eds) Complex Sciences. Complex 2009. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 5. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02469-6_55
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DOI: https://doi.org/10.1007/978-3-642-02469-6_55
Publisher Name: Springer, Berlin, Heidelberg
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