Second Order Behaviour of Ruin Probabilities

DOI10.1080/03461239950132615zbMath0952.91043OpenAlexW2126347166MaRDI QIDQ4512137

Aleksandras Baltrūnas

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

zbMATH Keywords

random walkruin probabilitysubexponential distributioninsurance riskintegrated tailWiener-Hopf factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY ⋮ Second order behaviour of ruin probabilities in the case of large claims ⋮ 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 ⋮ Second order subexponential distributions with finite mean and their applications to subordinated distributions ⋮ 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

Cites Work

• Unnamed Item
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The structure of the class of subexponential distributions
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Theory prob. appl.
• Subexponential distributions and integrated tails

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