Rates in approximations to ruin probabilities for heavy-tailed distributions
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Publication:1848522
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- scientific article; zbMATH DE number 1218884
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
- Second-order asymptotics for the ruin probability in the case of very large claims
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- The rate of convergence for subexponential distributions
Cited in
(10)- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- On domination problem of non-negative distributions
- 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
- Precise large deviations for strong subexponential distributions and applications on a multi risk model
- Precise large deviations for sums of negatively dependent random variables with common long-tailed distributions
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- The tail behaviour of a random sum of subexponential random variables and vectors
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
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