Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
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Cites work
- A large deviation result for aggregate claims with dependent claim occurrences
- A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
- A property of the renewal counting process with application to the finite-time ruin probability
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- Asymptotics for sums of random variables with local subexponential behaviour
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- Large deviations for heavy-tailed random sums in compound renewal model
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- Ruin probabilities
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims
- Second order asymptotics of aggregated log-elliptical risk
- Second order behaviour of ruin probabilities in the case of large claims
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
- Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory
- Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
- Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
- The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
- Uniform asymptotics of the finite-time ruin probability for all times
- Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
Cited in
(5)- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- scientific article; zbMATH DE number 5733814 (Why is no real title available?)
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Second-order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
- Asymptotics for the sum-ruin probability of a bi-dimensional compound risk model with dependent numbers of claims
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