Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
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Publication:2445354
DOI10.1016/j.insmatheco.2012.07.001zbMath1284.91251MaRDI QIDQ2445354
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.001
heavy-tailed distributions; convergence rate; random walk; ruin probability; renewal risk model; ladder height
60G70: Extreme value theory; extremal stochastic processes
60G50: Sums of independent random variables; random walks
60K10: Applications of renewal theory (reliability, demand theory, etc.)
Related Items
Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima, Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims, Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory, Second-order asymptotics for convolution of distributions with light tails, On \(1/f\) noise, Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model, Second order asymptotics for infinite-time ruin probability in a compound renewal risk model, Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
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