The Asymptotics for the Ruin Probabilities of a Risk Model with Delayed Heavy-Tailed Claims
CUI Zhaolei; YU Changjun
School of Mathematics and Statistics, Changshu Institute of Technology, Suzhou, 215500, China; School of Science, Nantong University, Nantong,226019, China
In this paper, for a kind of risk models with heavy-tailed and delayed claims, we derive the asymptotics of the infinite-time ruin probability and the uniform asymptotics of the finite-time ruin probability. The numerical simulation results are also presented. The results of theoretical analysis and numerical simulation
show that the influence of the delay for the claim payment is nearly negligible to the ruin probability when the initial capital and running-time are all large.
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CUI Zhaolei; YU Changjun. The Asymptotics for the Ruin Probabilities of a Risk Model with Delayed Heavy-Tailed Claims. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(4): 416-426.
