A local limit theorem for the probability of ruin (Q2386543)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A local limit theorem for the probability of ruin |
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A local limit theorem for the probability of ruin (English)
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30 August 2005
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The local asymptotic behaviour of the probability of ruin is studied in a standard continuous-time risk model in which the inter-claim times have an Erlang distribution and the individual claim sizes have a distribution that belongs to the class of distribution functions with finite exponential order (subexponential distribution is a special case). It is supposed that the Lundberg exponent of the underlying risk process does not exist.
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Cramer-Lundberg model
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Erlang risk model
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subexponential distribution
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