2012•Science Technology and EngineeringRequires access

Finite Time Ruin Probability with Risky Investment and Large Claims

Xian-Jun Wu

Abstract

The finite time ruin probability of renewal risk model with risky investment and large claims were considered.In this model,when the claim size distribution belonged to L∩D,the asymptotic behavior of insurance company's ruin probability under large individual claims is analyzed and obtained the asymptotic formula of finite time ruin probability.

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Key concepts: Ruin theory, First-hitting-time model, Mathematics, Investment (military), Actuarial science, Risk model, Probability distribution, Distribution (mathematics)