Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims

DOI10.1016/J.INSMATHECO.2012.07.001zbMath1284.91251OpenAlexW1991489650MaRDI QIDQ2445354

Jianxi Lin

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.001

zbMATH Keywords

heavy-tailed distributionsconvergence raterandom walkruin probabilityrenewal risk modelladder height

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (8)

Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Second order tail behaviour of randomly weighted heavy-tailed sums and their maxima ⋮ Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ On \(1/f\) noise ⋮ Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory ⋮ Second order tail approximation for the maxima of randomly weighted sums with applications to ruin theory and numerical examples ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

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