Second-order asymptotics for the ruin probability in the case of very large claims

DOI10.1007/BF02677526zbMath0936.62116MaRDI QIDQ1975812

Yanyan Li

Publication date: 4 May 2000

Published in: Siberian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

risk processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

Related Items (3)

Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ How to measure the accuracy of the subexponential approximation for the stationary single server queue ⋮ Second order behaviour of ruin probabilities in the case of large claims

Cites Work

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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Second order behaviour of the tail of a subordinated probability distribution
• The structure of the class of subexponential distributions
• Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• The class of subexponential distributions
• The rate of convergence for subexponential distributions
• Theory prob. appl.
• On the tails of waiting-time distributions
• An Estimate of the Remainder Term in Limit Theorems of Renewal Theory

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