Estimation of ruin probabilities by means of hazard rates

DOI10.1016/0167-6687(89)90003-6zbMath0686.62093OpenAlexW2067360560MaRDI QIDQ1262683

Claudia Klüppelberg

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90003-6

zbMATH Keywords

asymptotic behavioursubexponential distributionshazard rateconvolution-equivalent distributionsasymptotic ruin probabilityclaim-size distributionnon-Cramér casesingular point of the moment generating function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ruin estimates for large claims
• Subexponential distributions and characterizations of related classes
• A property of the generalized inverse Gaussian distribution with some applications
• Subexponential distributions and integrated tails
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