Rates in approximations to ruin probabilities for heavy-tailed distributions

DOI10.1023/A:1012237524316zbMATH Open1003.60050OpenAlexW55182593MaRDI QIDQ1848522FDOQ1848522

T. Mikosch, Alexander V. Nagaev

Publication date: 21 November 2002

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1012237524316

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Cram%EF%BF%BD%EF%BF%BDr-Lundberg+model&go=Go Cram��r-Lundberg model]total claim amountPollaczek-Khinchin formula

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70)

Cited In (10)

• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
• Precise large deviations for strong subexponential distributions and applications on a multi risk model
• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• The tail behaviour of a random sum of subexponential random variables and vectors
• Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• On domination problem of non-negative distributions
• Precise Large Deviations for Sums of Negatively Dependent Random Variables with Common Long-Tailed Distributions

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