Ruin estimates for large claims (Q1116613): Difference between revisions

The classical Cramér estimate for the probability of ruin in the Cramér-Lundberg model assumes that the claimsizes are exponentially bounded. In the case of large claims (Pareto, log-normal,...) the condition of sub-exponentiality on the integrated claimsize distribution is the relevant one. In this paper, we study a family of distribution functions which is rich enough to contain the most important claimsize models and for which an easily verifiable sufficient condition for sub- exponentiality holds.