Higher-order expansions for compound distributions and ruin probabilities with subexponential claims

DOI10.1080/03461230902722726zbMath1224.91038OpenAlexW2048587146MaRDI QIDQ3077754

Dominik Kortschak, Christian Hipp, Hansjoerg Albrecher

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230902722726

zbMATH Keywords

subexponential distributionsasymptotic expansionsruin theorycompound sums

Mathematics Subject Classification ID

Related Items (12)

Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics ⋮ Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation ⋮ Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ On ruin probability and aggregate claim representations for Pareto claim size distributions ⋮ Tail asymptotic expansions for \(L\)-statistics ⋮ An asymptotic expansion for the tail of compound sums of Burr distributed random variables ⋮ Fourier-cosine method for ruin probabilities ⋮ Error rates and improved algorithms for rare event simulation with heavy Weibull tails ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Second order corrections for the limits of normalized ruin times in the presence of heavy tails ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

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