Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims fo...Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.展开更多
基金Supported by the National Natural Science Foundation of China(70871104)the Planning Project of the National Educational Bureau of China(08JA630078)the Project of Key Research Base of Human and Social Sciences(Finance) for Colleges in Zhejiang Province(Grant No. of Academic Education of Zhejiang [2008]255)
文摘Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset, a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained. The result extends the corresponding conclusions of related references.
