Second order corrections for the limits of normalized ruin times in the presence of heavy tails
From MaRDI portal
Publication:5168875
DOI10.1214/11-SSY054zbMath1300.60108arXiv1112.2543MaRDI QIDQ5168875
Dominik Kortschak, Soren Asmussen
Publication date: 21 July 2014
Full work available at URL: https://arxiv.org/abs/1112.2543
regular variationrisk processPoisson processtransient behaviorstorage processfinite time ruin probability\(\mathrm{M}/\mathrm{G}/1\) queuesecond order subexponentiality
Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk concentration and diversification: second-order properties
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
- Second order behaviour of the tail of a subordinated probability distribution
- The rate of convergence for subexponential distributions
- Large deviations results for subexponential tails, with applications to insurance risk
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- On Probabilities of Large Deviations for Random Walks. I. Regularly Varying Distribution Tails
- The Non-Absolute Convergence of Gil-Pelaez' Inversion Integral
- Insurance with borrowing: first- and second-order approximations
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Theory prob. appl.
- Large deviations of heavy-tailed random sums with applications in insurance and finance
- Asymptotic Expansions for Distributions of Compound Sums of Random Variables with Rapidly Varying Subexponential Distribution
- Note on the inversion theorem
