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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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2005-06, Vol.36 (3), p.485-498 |
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| container_end_page | 498 |
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| container_issue | 3 |
| container_start_page | 485 |
| container_title | Insurance, mathematics & economics |
| container_volume | 36 |
| creator | Baltrunas, A |
| description | 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. |
| doi_str_mv | 10.1016/j.insmatheco.2005.01.005 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0167-6687 |
| ispartof | Insurance, mathematics & economics, 2005-06, Vol.36 (3), p.485-498 |
| issn | 0167-6687 1873-5959 |
| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | 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 |
| title | Second order behaviour of ruin probabilities in the case of large claims |
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