中国科学A辑(英文版)
中國科學A輯(英文版)
중국과학A집(영문판)
SCIENCE IN CHINA
2002年
5期
632-639
,共8页
Cramér-Lundberg model%geometric sums%heavy-tailed distribution%ladder height%ruin probabilities
The famous Embrechts-Goldie-Veraverbeke formula shows that, in the classical Cramér-Lundberg risk model, the ruin probabilities satisfy R(x, ∞)～ p-1 e(x) if the claim sizes are heavy-tailed, where Fe denotes the equilibrium distribution of the common d.f. F of the i.i.d. claims, p is the safety loading coefficient of the model and the limit process is for x →∞. In this paper we obtain a related local asymptotic relationship for the ruin probabilities. In doing this we establish two lemmas regarding the n-fold convolution of subexponential equilibrium distributions, which are of significance on their own right.
