Second Order Behaviour of Ruin Probabilities
The Sparre Andersen model in the collective risk theory is investigated in this paper. Ruin probabilities \(\psi(x)\) are studied for the level of the risk process just after the \(n\)-th payoff, where \(x\) is the initial capital of the insurance company. Many papers have been devoted to the study of the asymptotic behaviour of \(\psi(x)\) as \(x\to+\infty.\) The classical Cramér result states that, whenever distribution function of claims has a fast-decaying tail, \(\psi(x)\) behaves exponentially as \(x\to+\infty.\) For the case where claim distributions have ``heavy tails estimates for the asymptotic ruin probability were obtained under certain conditions by \textit{P. Embrechts} and \textit{N. Veraverbeke} [Insur. Math. Econ. 1, 55-72 (1982; Zbl 0518.62083)] Assuming that the claim-size is heavy-tailed, say subexponential, the second order asymptotic behaviour of ruin probabilities is obtained in this paper.
- Second-order asymptotics of ruin probabilities for semiexponential claims
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- The probability of ruin in finite time
- Second-order asymptotics for the ruin probability in the case of very large claims
- Second order corrections for the limits of normalized ruin times in the presence of heavy tails
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Subexponential distributions and integrated tails
- The structure of the class of subexponential distributions
- Theory prob. appl.
- Estimation of ruin probabilities by means of hazard rates
- The probability of ruin in finite time
- Second-order asymptotics for the ruin probability in the case of very large claims
- Ruin probabilities for a Sparre Andersen model with investments
- Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
- Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
- Simulation analysis of ruin capital in Sparre Andersen's model of risk
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- Extremal subexponentiality in ruin probabilities
- scientific article; zbMATH DE number 5733814 (Why is no real title available?)
- Two-dimensional ruin probability for subexponential claim size
- Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory
- Second order subexponentiality and infinite divisibility
- On asymptotics of deficit distribution and its moments at the time of ruin
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Second order subexponential distributions with finite mean and their applications to subordinated distributions
- Second-order asymptotics of ruin probabilities for semiexponential claims
- Second order behaviour of ruin probabilities in the case of large claims
- Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
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