Second order behaviour of ruin probabilities in the case of large claims

Second order behaviour of ruin probabilities in the case of large claims

In this paper, we consider the classical risk model. Assuming that the claim-size is heavy-tailed, say, subexponential, under simple conditions the second order asymptotic behaviour of ruin probabilities is obtained.

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Bibliographische Detailangaben
Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2005-06, Vol.36 (3), p.485-498
1. Verfasser: Baltrunas, A
Format: Artikel
Sprache:eng
Schlagworte:
Distribution
Financial economics
Insurance
Insurance risk
Integrated tail
Mathematical economics
Mathematical models
Poisson distribution
Poisson model
Risk
Risk theory
Ruin probability
Statistical methods
Stochastic models
Stochastic processes
Studies
Subexponential distributions
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Beschreibung
Zusammenfassung:In this paper, we consider the classical risk model. Assuming that the claim-size is heavy-tailed, say, subexponential, under simple conditions the second order asymptotic behaviour of ruin probabilities is obtained.
ISSN:0167-6687
1873-5959
DOI:10.1016/j.insmatheco.2005.01.005