Second Order Behaviour of Ruin Probabilities

Aleksandras Baltrūnas

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 2, 120-133

Abstract: The Sparre-Andersen model in the collective risk theory is investigated. Assuming that the claim-size is heavy-tailed, say subexponential, the second order asymptotic behaviour of ruin probabilities is obtained.

Date: 1999
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DOI: 10.1080/03461239950132615

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