Second order tail behaviour for heavy-tailed sums and their maxima with applications to ruin theory

DOI10.1007/s10687-014-0181-1zbMath1328.62087OpenAlexW2018546107MaRDI QIDQ488094

Jianxi Lin

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0181-1

zbMATH Keywords

partial sumsruin probabilitytail probabilitiessubexponentialitysecond order asymptotics

Mathematics Subject Classification ID

Related Items (6)

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 convolution of distributions with light tails ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ 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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