Extremal subexponentiality in ruin probabilities

DOI10.1080/03610926.2011.562775MaRDI QIDQ3098927zbMATH OpenOpenAlexFDO

Authors Dimitrios G. Konstantinides

Publication date 18 November 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.562775

zbMATH Keywords

ergodicity conditionexplosive behaviorheavy-tailed distributionsheavytailedness parameters

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Recommendations

• Risk models with extremal subexponentiality
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• Second-order asymptotics for the ruin probability in the case of very large claims
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Cites work

• Comparison of ruin probability estimates in the presence of heavy tails
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• scientific article; zbMATH DE number 3706281 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1040052 (Why is no real title available?)

Cited in

(4)

• Coherent risk measures under dominated variation
• Risk models with extremal subexponentiality
• Assessment of dependent risk using extreme value theory in a time-varying framework
• Ruin probability for heavy-tailed and dependent losses under reinsurance strategies

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