Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics

DOI10.1080/03461238.2012.755937zbMATH Open1401.91196OpenAlexW3124132540MaRDI QIDQ4576872FDOQ4576872

Authors: Yasutaka Shimizu 

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.755937

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zbMATH Keywords

ruin probabilityEdgeworth type expansioncompound geometric sumLévy insurance risksmall safety loading

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

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Cited In (1)

• Functional sensitivity analysis of ruin probability in the classical risk models

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