A new class of large claim size distributions: definition, properties, and ruin theory

DOI10.3150/14-BEJ651zbMATH Open1362.60007arXiv1307.6149OpenAlexW3105191320MaRDI QIDQ888489FDOQ888489

Authors: Sergej Beck, Jochen Blath, Michael Scheutzow 

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We investigate a new natural class $mathcalJ$ of probability distributions modeling large claim sizes, motivated by the `principle of one big jump'. Though significantly more general than the (sub-)class of subexponential distributions $mathcalS$, many important and desirable structural properties can still be derived. We establish relations to many other important large claim distribution classes (such as $mathcalD$, $mathcalS$, $mathcalL$, $mathcalK$, $mathcalOS$ and $mathcalOL$), discuss the stability of $mathcalJ$ under tail-equivalence, convolution, convolution roots, random sums and mixture, and then apply these results to derive a partial analogue of the famous Pakes-Veraverbeke-Embrechts theorem from ruin theory for $mathcalJ$. Finally, we discuss the (weak) tail-equivalence of infinitely-divisible distributions in $mathcalJ$ with their L'{e}vy measure.

Full work available at URL: https://arxiv.org/abs/1307.6149

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zbMATH Keywords

random walksheavy-tailed distributionssubexponential distributionruin theory

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (12)

• A gamma tail statistic and its asymptotics
• On the structure of a class of distributions obeying the principle of a single big jump
• On the long tail property of product convolution
• Properties of the random effect transformation
• Closure properties of \(O\)-exponential distributions
• On a transformation between distributions obeying the principle of a single big jump
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• New classes of large claim size distributions. Introduction, properties and applications
• The local asymptotic estimation for the supremum of a random walk with generalized strong subexponential summands
• Limiting behaviour of constrained sums of two variables and the principle of a single big jump
• Some positive conclusions related to the Embrechts-Goldie conjecture
• Randomly stopped minima and maxima with exponential-type distributions

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