Asymptotic ruin probabilities when exponential moments do not exist

DOI10.1080/03461238.1975.10405073zbMath0321.62102OpenAlexW2029856806MaRDI QIDQ4082908

Bengt von Bahr

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1080/03461238.1975.10405073

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation, Large claims approximations for risk processes in a Markovian environment, A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market, On the accuracy of phase-type approximations of heavy-tailed risk models, From ruin theory to solvency in non-life insurance, Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes, Second order behaviour of ruin probabilities in the case of large claims, A solution to the ruin problem for Pareto distributions., Effiziente berechnung der ruinwahrscheinlichkeit für den klassischen schadenexzedentenvertrag, Unnamed Item, Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis, Higher-order expansions for compound distributions and ruin probabilities with subexponential claims, Probabilities of ruin, Estimates for the probability of ruin with special emphasis on the possibility of large claims, The probability of ruin in finite time, Sampling at subexponential times, with queueing applications

Cites Work

• Unnamed Item