Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims

Jianxi Lin

Communications in Statistics - Theory and Methods, 2021, vol. 50, issue 5, 1200-1209

Abstract: Since the pioneer work by H. Cramér, the asymptotic estimate of ruin probabilities has been extensively investigated by many researchers. Under heavy-tailed claims, Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) established the second order asymptotics for the ruin probabilities of the ordinary renewal risk model. In this paper, we extends the corresponding result in Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) to the case of the delayed renewal risk model.

Date: 2021
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DOI: 10.1080/03610926.2019.1648828

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