Estimation of ruin probabilities by means of hazard rates

DOI10.1016/0167-6687(89)90003-6zbMath0686.62093OpenAlexW2067360560MaRDI QIDQ1262683

Claudia Klüppelberg

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90003-6

zbMATH Keywords

asymptotic behavioursubexponential distributionshazard rateconvolution-equivalent distributionsasymptotic ruin probabilityclaim-size distributionnon-Cramér casesingular point of the moment generating function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

Large claims approximations for risk processes in a Markovian environment ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims ⋮ Asymptotic ordering of risks and ruin probabilities ⋮ The probabilities of absolute ruin in the renewal risk model with constant force of interest ⋮ Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times ⋮ Ruin probabilities and overshoots for general Lévy insurance risk processes ⋮ Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims ⋮ The rate of convergence for subexponential distributions ⋮ Failure rates of regenerative systems with heavy tails ⋮ Ruin probabilities in the presence of heavy-tails and interest rates ⋮ Estimation of distribution tails —a semiparametric approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ruin estimates for large claims
• Subexponential distributions and characterizations of related classes
• A property of the generalized inverse Gaussian distribution with some applications
• Subexponential distributions and integrated tails

This page was built for publication: Estimation of ruin probabilities by means of hazard rates