Please use this identifier to cite or link to this item:
http://hdl.handle.net/1942/164
Title: | Asymptotic estimates for the probability of ruin in a Poisson model with diffusion | Authors: | VERAVERBEKE, Noel | Issue Date: | 1993 | Source: | Insurance: Mathematics and Economics, 13(1), p. 57-62 | Abstract: | We consider the probability of ruin in the extended risk model of Gerber (1970) and Dufresne and Gerber (1991). Their asymptotic estimate is complemented by considering also cases where the conditions for the exponential estimate are not satisfied. It is shown that the probability of ruin then behaves asymptotically like the (integrated) tail of the claimsize distribution. | Document URI: | http://hdl.handle.net/1942/164 | DOI: | 10.1016/0167-6687(93)90535-W | Type: | Journal Contribution |
Appears in Collections: | Research publications |
Show full item record
SCOPUSTM
Citations
29
checked on Sep 3, 2020
WEB OF SCIENCETM
Citations
36
checked on Apr 24, 2024
Page view(s)
66
checked on Nov 7, 2023
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.