Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
DOI10.1007/s11009-021-09862-wzbMath1490.91053OpenAlexW3159004425MaRDI QIDQ2152265
Yang Yang, Shaoying Chen, Xin-Zhi Wang
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-021-09862-w
compound renewal risk modelinfinite-time ruin probabilitycrude Monte Carlo simulationsecond-order subexponential distributionsecond-order asymptotic behavior
Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)
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