Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory

DOI10.1007/S10687-014-0181-1zbMATH Open1328.62087OpenAlexW2018546107MaRDI QIDQ488094FDOQ488094

Authors: Jianxi Lin 

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0181-1

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zbMATH Keywords

ruin probabilitypartial sumstail probabilitiessubexponentialitysecond order asymptotics

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50)

Cites Work

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Cited In (13)

• Title not available (Why is that?)
• Second order subexponential distributions with finite mean and their applications to subordinated distributions
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Second order behaviour of ruin probabilities in the case of large claims
• Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Second-order properties of tail probabilities of sums and randomly weighted sums
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Second-order asymptotics for convolution of distributions with light tails
• Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima
• Maxima of Sums of Heavy-Tailed Random Variables

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