Accumulated claims and collective risk in insurance: Higher order asymptotic approximations

DOI10.1080/03461238.1985.10413780zbMath0602.62092OpenAlexW1979403396MaRDI QIDQ3738452

Knut Kristian Aase

Publication date: 1985

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1985.10413780

zbMATH Keywords

Edgeworth expansionrisk theoryprobability of ruinreservesBerry-Esséen approachhigher order asymptotic expressionLundberg model

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (3)

Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Admissible investment strategies in continuous trading ⋮ Ruin problems with assets and liabilities of diffusion type

Cites Work

• Optimum portfolio diversification in a general continuous-time model
• Point processes and queues. Martingale dynamics
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