Asymptotic ordering of risks and ruin probabilities

DOI10.1016/0167-6687(93)90237-JzbMath0787.62112OpenAlexW1979504766MaRDI QIDQ689566

Claudia Klüppelberg

Publication date: 19 May 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90237-j

zbMATH Keywords

ruin probabilitysurvival probabilityclaim number processrisk theoryaccumulated claimsasymptotic orderingsbounds for ruin probabilitiesclaim size distributionsgross risk premiuminitial risk reservelarge claims distributionssafety loading

Mathematics Subject Classification ID

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

Related Items (1)

Some comparison results for finite-time ruin probabilities in the classical risk model

Cites Work

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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• On convolution tails
• Aspects of risk theory
• Degeneracy properties of subcritical branching processes
• Estimation of ruin probabilities by means of hazard rates
• Subexponential distributions and characterizations of related classes
• Asymptotic ordering of distribution functions and convolution semigroups
• Functions of probability measures
• A property of the generalized inverse Gaussian distribution with some applications
• Subexponential distributions and integrated tails

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