Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model

Yang Yang (), Xinzhi Wang and Shaoying Chen
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Yang Yang: Nanjing Audit University
Xinzhi Wang: Nanjing Audit University
Shaoying Chen: Nanjing Audit University

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 1221-1236

Abstract: Abstract Consider a compound renewal risk model, in which a single accident may cause more than one claim. Under the condition that the common distribution of the individual claims is second order subexponential, we establish a second order asymptotic formula for the infinite-time ruin probability. Compared with the traditional ones, our second order asymptotic result is more precise and effective, which can be demonstrated by the numerical studies.

Keywords: Compound renewal risk model; Infinite-time ruin probability; Second order asymptotic behavior; Second order subexponential distribution; Crude Monte-Carlo simulation; 62E20; 91B30; 60G50 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-021-09862-w

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