Title of article
Second order behaviour of ruin probabilities in the case of large claims
Author/Authors
Baltru¯nas، نويسنده , , Aleksandras، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2005
Pages
14
From page
485
To page
498
Abstract
In this paper, we consider the classical risk model. Assuming that the claim-size is heavy-tailed, say, subexponential, under simple conditions the second order asymptotic behaviour of ruin probabilities is obtained.
Keywords
Insurance risk , Poisson model , subexponential distributions , Integrated tail , Ruin probability
Journal title
Insurance Mathematics and Economics
Serial Year
2005
Journal title
Insurance Mathematics and Economics
Record number
1542912
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