The probability of ruin in finite time

DOI10.1007/BF02465844zbMath0983.91029MaRDI QIDQ1589832

R. Smith

Publication date: 23 April 2002

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

subexponential distributionsruin probabilitySparre Andersen modelintegrated tails

Mathematics Subject Classification ID

Related Items (1)

Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

Cites Work

• The queue GI/G/1: Finite moments of the cycle variables and uniform rates of convergence
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Large deviations results for subexponential tails, with applications to insurance risk
• Convergence rates for M/G/1 queues and ruin problems with heavy tails
• Approximations for the probability of ruin within finite time
• Asymptotic ruin probabilities when exponential moments do not exist
• Saddlepoint approximations for the probability of ruin in finite time
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