Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model

作     者：Chun Su, Tao Jiang, Qi-he TangDepartment of Statistics and Finance, University of Science and Technology of China, Hefei 230026 

作者机构：Department of Statistics and Finance University of Science and Technology of China Hefei 230026 China 

出 版 物：《Acta Mathematicae Applicatae Sinica》 (应用数学学报（英文版）)

年 卷 期：2002年第18卷第4期

页      面：675-680页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：the National Natural Science Foundation of China (No.10071081) the Special Foundation of USTC 

主　　题：Delayed renewal risk model heavy-tails ruin probability 

摘      要：Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities (?)(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model.