Ruin estimates for large claims
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Publication:1116613
DOI10.1016/0167-6687(88)90084-4zbMath0666.62098OpenAlexW2052693607MaRDI QIDQ1116613
Paul Embrechts, José A. Villaseñor
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90084-4
concavityCramér-Lundberg modellarge claimsprobability of ruinclaimsize distributionclaimsize modelscondition of sub-exponentialityCramér estimateruin estimates
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Cites Work
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- Bounds for classical ruin probabilities
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- The class of subexponential distributions
- A property of longtailed distributions
- A property of the generalized inverse Gaussian distribution with some applications
- Subexponential distributions and integrated tails
- Subexponentiality and infinite divisibility