Rates in approximations to ruin probabilities for heavy-tailed distributions
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Publication:1848522
DOI10.1023/A:1012237524316zbMATH Open1003.60050OpenAlexW55182593MaRDI QIDQ1848522FDOQ1848522
Authors: 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
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- 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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