A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION

DOI10.4134/BKMS.2003.40.4.663MaRDI QIDQ4465302zbMATH OpenOpenAlexFDO

Authors Qihe Tang

Publication date 27 May 2004

Published in Bulletin of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4134/bkms.2003.40.4.663

zbMATH Keywords

asymptoticsheavy tailstail probabilityruin probabilityrenewal risk modelladder height

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• On the moments of the severity of ruin in the delayed renewal risk model under heavy-tailed claims
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Cited in

(6)

• Random walks with non-convolution equivalent increments and their applications
• The overshoot of a random walk with negative drift
• The uniform asymptotics of the overshoot of a random walk with light-tailed increments
• The deficit at ruin in the Sparre Andersen model with interest
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments

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