Finite Time Ruin Probability with Variable Interest Rate and Extended Regular Variation

Consider an insurance risk model, in which the surplus process satisfies a recursive equation Un=Un-1(1 rn)-Xn for n≥1, where U0=x≥0 is the initial surplus, {rn；n≥1} the interest rate sequence, {Xn；n≥l} the sequence of i. i. d. real-valued random variables with common distribution function F, which denotes the gross loss during the nth year. We investigate the ruin probability within a finite time horizon and give the asymptotic result as x→∞.

Finite time ruin probability with variable interest rate and extended regular variation

Consider an insurance risk model, in which the surplus process satisfies a recursive equationU _n =U _n−1(1+r _n )−X _n forn≥1, whereU ₀=x≥0 is the initial surplus, {r _n ;n≥1} the interest rate sequence, {X _n ;n≥1} the sequence of i. i. d. real-valued random variables with common distribution functionF, which denotes the gross loss during thenth year. We investigate the ruin probability within a finite time horizon and give the asymptotic result asx→∞. Foundation item: Supported by the National Natural Science Foundation of China (10071058, 70273029) Biography: WEI Xiao (1979-), female, Ph. D candidate, research direction: large deviations and its applications, insurance mathematics.