Second-order asymptotics for the ruin probability in the case of very large claims (Q1975812): Difference between revisions

A distribution \(F\) on \([0,\infty)\) with unbounded support is called a subexponential distribution if \(F*F([x,\infty))/F([x,\infty))\to 2\) as \(x\to\infty\). It is well known that for every subexponential distribution \(F\) and \(\rho\in(0,1)\): \[ \sum_{n=0}^\infty\rho^n F^{*n}([x,\infty)) \sim \rho (1-\rho)^{-2}F([x,\infty)) \quad\text{ as }x\to\infty. \] The article is devoted to estimating the accuracy of this asymptotic. For a wide subclass of subexponential distributions, the author gives the exact order of the difference \[ R(x)\equiv \sum_{n=0}^\infty\rho^n F^{*n}([x,\infty)) - \rho (1-\rho)^{-2}F([x,\infty)). \] If \(F\) is an integrated tail distribution then, in most cases, \(R(x)\) behaves like \(O\) of the tail of the original distribution.