Asymptotic ordering of risks and ruin probabilities

DOI10.1016/0167-6687(93)90237-JzbMATH Open0787.62112OpenAlexW1979504766MaRDI QIDQ689566FDOQ689566

Authors: 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• On convolution tails
• Subexponential distributions and characterizations of related classes
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• Subexponential distributions and integrated tails
• Aspects of risk theory
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Degeneracy properties of subcritical branching processes
• Functions of probability measures
• Asymptotic ordering of distribution functions and convolution semigroups
• Estimation of ruin probabilities by means of hazard rates
• A property of the generalized inverse Gaussian distribution with some applications

Cited In (4)

• Some comparison results for finite-time ruin probabilities in the classical risk model
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• Ordering ruin probabilities resulting from layer-based claim amounts for surplus process perturbed by diffusion

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