Second Order Behaviour of Ruin Probabilities
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Publication:4512137
DOI10.1080/03461239950132615zbMath0952.91043MaRDI QIDQ4512137
Publication date: 1 November 2000
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461239950132615
random walk; ruin probability; subexponential distribution; insurance risk; integrated tail; Wiener-Hopf factors
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Second-order asymptotics of ruin probabilities for semiexponential claims, Second order behaviour of ruin probabilities in the case of large claims, Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model, Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
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