We consider the classical risk model that is perturbed by diffusion. Asymptotic formulae for the surplus prior to and at ruin, ruin caused by oscillation and ruin caused by a claim, as the initial capital tends to infinity are obtained for light-tailed and heavy-tailed claim size distributions.
|Journal||Far East Journal of Theoretical Statistics|
|Publication status||Published - Mar 2005|
- classical risk model
- ruin theory
- surplus at ruin
- surplus prior to ruin