Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
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Publication:3077754
DOI10.1080/03461230902722726zbMATH Open1224.91038OpenAlexW2048587146MaRDI QIDQ3077754FDOQ3077754
Authors: Christian Hipp, Dominik Kortschak, Hansjörg 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
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Cited In (16)
- An asymptotic expansion for the tail of compound sums of Burr distributed random variables
- Asymptotic expansions and hazard rates for compound and first-passage distributions
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Functional sensitivity analysis of ruin probability in the classical risk models
- Fourier-cosine method for ruin probabilities
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- 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
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
- Tail asymptotic expansions for \(L\)-statistics
- High order expansions for renewal functions and applications to ruin theory
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Title not available (Why is that?)
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