Asymptotic behaviour of the finite-time ruin probability in renewal risk models
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Publication:3077472
DOI10.1002/asmb.747zbMath1224.91070OpenAlexW4234149104MaRDI QIDQ3077472
Remigijus Leipus, Jonas Šiaulys
Publication date: 22 February 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.747
asymptotic behaviourfinite-time ruin probabilitystrongly subexponential distributionrenewal risk models
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Cites Work
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- Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
- Precise large deviation results for the total claim amount under subexponential claim sizes
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Submultiplicative moments of the supremum of a random walk with negative drift
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- Approximations for the probability of ruin within finite time
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
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