Second order behaviour of ruin probabilities in the case of large claims

DOI10.1016/j.insmatheco.2005.01.005zbMath1120.62091OpenAlexW1992781294MaRDI QIDQ882874

Aleksandras Baltrūnas

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.01.005

zbMATH Keywords

Poisson modelRuin probabilityInsurance riskIntegrated tailSubexponential distributions

Mathematics Subject Classification ID

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

Related Items

Second-order asymptotics of ruin probabilities for semiexponential claims ⋮ Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims ⋮ Precise large deviation results for the total claim amount under subexponential claim sizes

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