Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims

Jianxi Lin

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 422-429

Abstract: In this paper, we establish the second order asymptotics of ruin probabilities of a renewal risk model under the condition that the equilibrium distribution of claim sizes belongs to a rather general heavy-tailed distribution subclass—the class of second order subexponential distributions with finite mean. What is more, this requirement is proved to be necessary. Furthermore, a rather general sufficient condition on the claim size distribution itself is presented. Moreover, an extension to the case of random walk is also included.

Keywords: Heavy-tailed distributions; The convergence rate; Ruin probability; Renewal risk model; Ladder height; Random walk (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:422-429

DOI: 10.1016/j.insmatheco.2012.07.001

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