Ruin estimates for large claims

DOI10.1016/0167-6687(88)90084-4zbMath0666.62098OpenAlexW2052693607MaRDI QIDQ1116613

Paul Embrechts, José A. Villaseñor

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90084-4

zbMATH Keywords

concavityCramér-Lundberg modellarge claimsprobability of ruinclaimsize distributionclaimsize modelscondition of sub-exponentialityCramér estimateruin estimates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Bounds for classical ruin probabilities
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The class of subexponential distributions
• A property of longtailed distributions
• A property of the generalized inverse Gaussian distribution with some applications
• Subexponential distributions and integrated tails
• Subexponentiality and infinite divisibility