Estimates for the probability of ruin with special emphasis on the possibility of large claims

DOI10.1016/0167-6687(82)90021-XzbMath0518.62083OpenAlexW1976485684MaRDI QIDQ1054107

Publication date: 1982

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(82)90021-x

zbMATH Keywords

subexponential distributions random walk Poisson model large claims Andersen model asymptotic behavior of ruin probability Wiener-Hopf factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50)

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