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1 results

  • Probabilities of ruin when the safety loading tends to zero

  • Part of
  • Vsevolod K. Malinovskii
  • Journal:
    Advances in Applied Probability / Volume 32 / Issue 3 / September 2000
    Published online by Cambridge University Press:
    01 July 2016, pp. 885-923
    Print publication:
    September 2000

  • When the premium rate is a positive absolute constant throughout the time period of observation and the safety loading of the insurance business is positive, a classical result of collective risk theory claims that probabilities of ultimate ruin ψ(u) and of ruin within finite time ψ(t,u) decrease as eϰu with a constant ϰ>0, as the initial risk reserve u increases. This paper establishes uniform approximations to ψ(t,u) with slower rates of decrease when the premium rate depends on u in such a way that the safety loading decreases to zero as u→∞.