Extremal Subexponentiality in Ruin Probabilities

DOI10.1080/03610926.2011.562775zbMath1227.62090OpenAlexW1971476511MaRDI QIDQ3098927

Dimitrios G. Konstantinides

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562775

zbMATH Keywords

heavy-tailed distributionsergodicity conditionexplosive behaviorheavytailedness parameters

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Stochastic models in economics (91B70)

Related Items (2)

Assessment of dependent risk using extreme value theory in a time-varying framework ⋮ Coherent Risk Measures Under Dominated Variation

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Comparison of ruin probability estimates in the presence of heavy tails
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