Abstract
In this paper, we study the tail asymptotics in classical risk model by the method of simulation. Under the assumptions that the claimsize is of Pareto distribution, and the rates of returns are respectively uniformly distributed, Pareto distribution and Weibull distribution, we explore the formulae for ruin probability by using the way of deduction and simulation. The results we obtained generalized some results of Tang and Tsitsiashvili (2003).
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© 2012 Springer-Verlag Berlin Heidelberg
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Jiang, T. (2012). The Simulation Research for the Finite Time Ruin Probability with Heavy Tailed Discount Facters. In: Deng, W. (eds) Future Control and Automation. Lecture Notes in Electrical Engineering, vol 172. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-31006-5_27
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DOI: https://doi.org/10.1007/978-3-642-31006-5_27
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-31005-8
Online ISBN: 978-3-642-31006-5
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