The Asymptotics for the Ruin Probabilities of a Risk Model with Delayed Heavy-Tailed Claims
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Abstract
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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