Risk models with extremal subexponentiality

MaRDI QIDQ367563zbMATH OpenFDO

Authors Dimitrios G. Konstantinides

Publication date 16 September 2013

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

normal approximationPoisson distributionCornish-Fisher expansion\(u\) chart

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cited in

(6)

• scientific article; zbMATH DE number 962269 (Why is no real title available?)
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• A kind of distributions
• Quality of the approximation of ruin probabilities regarding to large claims
• Model spaces for risk measures
• Extremal subexponentiality in ruin probabilities

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