Comparison of ruin probability estimates in the presence of heavy tails

DOI10.1007/BF02365061zbMath0978.62099OpenAlexW2002958809MaRDI QIDQ1291194

D. G. Konstantinidis

Publication date: 22 November 1999

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02365061

zbMATH Keywords

heavy tailsruin probabilityPareto distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (3)

Sensitivity of the stability bound for ruin probabilities to claim distributions ⋮ Quality of the Approximation of Ruin Probabilities Regarding to Large Claims ⋮ Extremal Subexponentiality in Ruin Probabilities

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Aspects of risk theory
• Refinements and distributional generalizations of Lundberg's inequality
• Die bedeutung von KINGMANS integralungleichnngen bei der approximation der statlonären wartezeitverteilung im modell gi/g/1 mit und ohne verzögerung beim beginn einer beschäftigungsperiode
• Subexponentiality and infinite divisibility
• Two-sided bounds of ruin probabilities
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