Mathematical Computation

December 2013, Volume 2, Issue 4, PP.116-121

A Note on the Asymptotic Relationship for Ruin

Probability in Classical Risk Model
Dongdong Lv#, Mingqing Zhao, Jinggui Gao
College of Information Science and Engineering, Shan Dong University of Science and Technology, Qingdao 266590, China
# Email:lvdodo0355@126.com

Abstract
The asymptotic relationship and local asymptotic relationship for the ruin probability under the absence of the adjustment
*
coefficient as well as the claim distribution F S (v)(v 0) have been obtained, which overcame the complicated argument
involved in the existing literatures. In a special case, the asymptotic relationship and local asymptotic relationship for the ruin
probability were derived when the claim sum was within the generalized inverse Gauss distribution. Further, a numerical
simulation was performed on some parameters having influence of the asymptotic relationship and local asymptotic relationship
for the ruin probability.
*
Keywords: S (v) Distribution Class; Ruin Probability; Ladder Height Distribution; Adjustment Coefficient

266590
F S

(v)(v 0)

.
.
*
S (v)

,
[1-5]
[1,6-8]
[9] M X (r ) 1 r
F ( x) S * (v) [9] Pollaczek-Khinehin

*BS2012SF023SDYY11027
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1.1
0 F ( x) P{ X x} X

F ( x) 1 F ( x ) Fe ( x) 1 0 F ( t )dt f ( x) , g ( x) f ( x) ~ g ( x)
x

f ( x)
1
x g ( x)
lim

[1]
(1) { X i , i 1} F 0
(2) [0, t ] N (t ) sup{n 1: Tn t} {Tn , n 1}
{ X i , i 1}
(3) c 0
(1) (3)
N (t )

(t ) X i ct , t 0

(1)

i 1

(2)

c 1 2[2]
M sup { (t )} a. s. P.
0t

M R( x) P{M x} [0 , )
x 0

( x) P{M x} R( x)

(3)

M X (r ) 0 ert dF (t ) (, r0 ] r0 0

[1]
rt
0 e dF (t ) 1

(4)

(, r0 ] R

1.2 S * (v)
1.2.1[1] [0, ) F S (v) (v 0)

F *2 ( x)

20 evt dF ( x) ;
x F ( x)

1 lim

F (x t)
evt t 0.
x F ( x)

2 lim

S (0) S S
Pareto S (v) (v 0) F ( x) ~ x p evx x F p 1

S (v) F S (v) (v 0)

[3]

r f ( x)

f ( x)
v x
F ( x)

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 f ( x) F ( x)

1.2.2[10] [0, ) 0 evt F (t )dt F S * (v) (v 0)

lim

0 F ( x t ) F (t )

F ( x)

20 evt F (t )dt

v 0 S * . v 0 S (v) S * (v)

1.3
1.3.1[9] F S * (v) (v 0) n 1

Fe*n x ~

nF ( x) vt
( e dFe (t ))n1
v 0

1.3.2 F S * (v) (v 0) 0 K 0 n 1 x 0

Fe*n x K (1 )n F ( x)

[9] 4.2
1.3.3[11] f ( x) ~ g ( x) h( x) ~ k ( x) lim

f ( x)
h( x )
lim
1
h( x )
x f ( x)

f ( x) h( x) ~ g ( x) k ( x)

[8]

1 inf{t : (t ) 0} n inf{t : (t ) ( n1)} , n 2

1 1 n n n1
n 2 L L1 (1) Ln ( n ) ( n1) , n 2 n1 n Ln
{( n , Ln ) | ( n1 ) n 1} . L H Feller
1[12]

H ( x)

Fe ( x)

8 L

q P{L }

c
0
c

v min{k 1: k } v P{v k} q(1 q)k 1 k 1

(t ) M M

v 1

Lk L0 0

k 0

2.1 0 F S * (v) (v 0)
r
rt
0 e dF (t ) 1

( x) ~

( x) R( x) P{x M }

(1 )

v(1 0 evt dFe (t ))2

v 1

k 1

n 0

P{x Ln , v k}

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F ( x)

10

k 1

n1

k 1

n1

= P{x Ln , v k 1} = P{x Ln , Lk 1 }

=q H *k ( x) q (1 q)k Fe*k ( x)
k 1

k 1

1.3.2 (1 q)(1 ) 1 0 ert dF (t ) 1

rt
0 e F (t )dt

1.3.1

lim

( x)

x F ( x)

q (1 q)k lim

k 1

Fe*k ( x)
F ( x)

(1 )

v(1 0 evt dFe (t ))2

2.1
2.2 0 F S * (v) (v 0)
rt
0 e dF (t ) 1

(1 )(1 evz )

R( x , x z ] ~

v(1 0 evt dFe (t ))2

F ( x)

2.1

( x z) ~

(1 )

v(1 0 evt dFe (t ))2

F ( x z) z 0

( x z)
F ( x z)
lim
evz 1 1.3.3
x ( x)
x F ( x)
(1 )
R( x , x z ] = ( x) ( x z) ~
( F ( x) F ( x z ))

v(1 0 evt dFe (t ))2

v 0 lim

(1 )

v(1 0 evt dFe (t ))2

vz

(1 )(1 e

v(1 0 evt dFe (t ))2

F ( x) F ( x z )
F ( x)
F ( x)
F ( x)

(GIGD)
F N 1 ( , , ) 0, 0 , 0 F S ( 2)[13] F ( x)

exp( ( x1 1x) 2)

K ( ) [14]

F S * ( 2) [13]

t
1
0 e F (t )dt ( )2 K () 1

( x) ~

(1 )

v(1 0 evt dFe (t ))2

x 1
2 K ( )

F ( x)

1-
F ( x)

{1- (( )2 1 / K ( ) 1)}2

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1- -

2 K ( ) 2{1- (( )2 1 / K ( ) 1)}2

-0.5 GIGD
K0.5 () K0.5 ()

x 1e x

e
2

( x) ~

(1- )
x-3 2e x x; , ,, , )

2 e [ - e- -2)]2
2

R( x, x z ] ~

(1- )(1 e z )
x-3 2e x R(( x, x z], , , , , )
-

2
2 e [ - e -2)]

( x; , ,, , ) R(( x, x z], , , , , ) 0.08 1

1 1 z 1 0.6 3 x 0.2 2 ( x; , ,, , )
3.1
3.1 ( x; , , , , )

0.6
0.8
1.0
2.0
3.0

x 0.2

x 0.3

x 0.5

x1

x2

0.0148

0.0076

0.0031

0.0008

0.0002

0.0109

0.0055

0.0022

0.0005

0.0002

0.0084

0.0046

0.0016

0.0003

0.0001

0.0028

0.0013

0.0004

0.0001

0.0000

0.0013

0.0005

0.0001

0.0000

0.0000

0.6 3 x 0.2 2 R(( x, x z], , , , , ) 3.2

3.2 R(( x, x z ], , , , , )

= 0.6
= 0.8
1.0
2.0
3.0

x 0.2

x 0.3

x 0.5

x 1.0

x 2.0

0.0067
0.0060
0.0053
0.0025
0.0012

0.0034
0.0030
0.0029
0.0011
0.0005

0.0014
0.0012
0.0010
0.0003
0.0001

0.0004
0.0003
0.0002
0.0000
0.0000

0.0001
0.0001
0.0000
0.0000
0.0000

S * (v) ( 0)

1.3.3 2.2

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REFERENCES
[1]

Embrechts P, Klppelberg C, and Mikosch T. Modelling Extremal Events for Insurance and Finance.Berlin: Springer, 1997

[2]

Noel Veraverbeke.Asymptotic Estimates for the probability of ruin in a Poisson model with diffusion.Insurance: Mathematics
and Economics ,13(1993):57-62

[3]

Rolski T, Schmidli V, Teugls J. Stochastic Process for Finance Insurance.New York: Wiley, 1999

[4]

Grandell J.Aspects of Risk Theory.New York: Springer-Verlag, 1991

[5]

Asmussen S. Ruin Probabilities. Singapore: Word Scienticfic, 2000

[6]

R Z Gong and J Z Zhou.An Asymptotic Relationship for Survival Probability in Renewal Risk Model Under Heavy-tailed
Cla-Ims.Acta. Mathematicae Applicatae,2006,59(5):947-954

[7]

R Z Gong and J Z Zhou. The Asymptotic Relationships of the Ruin Probabilities in the Classic Risk Model Perturbed by
Diffusion Under Heavy-tailed Claims.Acta. Mathematicae Applicatae,2007,30(3):563-572

[8]

Q H Tang. An Asymptotic Relationships of the Ruin Probabilities under Heavy-tails Claims. Science in China(Series A), 2002,
45(5):632-639

[9]

J D Liao et al.An Asymptotic Relationship for Ruin Probability in Classic Risk Model.ACTA Mathematicae Applicatae Sinica,
2009,32(2): 354-367

[10] C C Yin. A local Theorem of Ruin Probability. Science in China(Series A), 2004, 34(2):192-202
[11] Z C Yang. The Concept and the Qualities of Equivalence.Journal of Chengdu Texitile College,1999,16(1):40-45
[12] Feller W. An Introduction to Probability Theory and Its Applications. New York: Wiley, 1971
[13] Embrechts P. A Property of the Generalized Inverse Gaussian Distribution with Some Applications.Appl. Probab. 1983,
20(3):537-544
[14] C C Yin, X H Zhao, and F Hu. Ladder Height and Supremum of a Random Walk with Application in Risk Theory. Acta
Mathematica Scientia, 2009,29A(1):38-47

1987-

1963-

Email: zhaomq64@163.com

Email: lvdodo0355@126.com

1974-
Email: jingguigao@126.com

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