Second Order Behaviour of Ruin Probabilities

DOI10.1080/03461239950132615MaRDI QIDQ4512137zbMATHOpenAlexFDO

Authors A. Baltrunas

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 probabilityinsurance risksubexponential distributionintegrated tailWiener-Hopf factors

Mathematics Subject Classification ID

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

Recommendations

• Second-order asymptotics of ruin probabilities for semiexponential claims
• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
• The probability of ruin in finite time
• Second-order asymptotics for the ruin probability in the case of very large claims
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails

Cites work

• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Subexponential distributions and integrated tails
• The structure of the class of subexponential distributions
• Theory prob. appl.

Cited in

(18)

• Extremal subexponentiality in ruin probabilities
• The probability of ruin in finite time
• Simulation analysis of ruin capital in Sparre Andersen's model of risk
• On asymptotics of deficit distribution and its moments at the time of ruin
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Two-dimensional ruin probability for subexponential claim size
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Second order subexponentiality and infinite divisibility
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• Second-order asymptotics of ruin probabilities for semiexponential claims
• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
• Ruin probabilities for a Sparre Andersen model with investments
• scientific article; zbMATH DE number 5733814 (Why is no real title available?)
• Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory
• Estimation of ruin probabilities by means of hazard rates
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
• Second order subexponential distributions with finite mean and their applications to subordinated distributions
• Second order behaviour of ruin probabilities in the case of large claims

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