Second-order asymptotics of ruin probabilities for semiexponential claims

被引：1

作者：

Aleskeviciene, A. ^{[1
]}

Leipus, R. ^{[1
,2
]}

Siaulys, J. ^{[1
,2
]}

机构：

[1] Inst Math & Informat, LT-08663 Vilnius, Lithuania

[2] Vilnius State Univ, LT-03225 Vilnius, Lithuania

来源：

LITHUANIAN MATHEMATICAL JOURNAL | 2009年 / 49卷 / 04期

关键词：

ruin probability; second-order asymptotics; semiexponential distribution; MAXIMUM;

D O I：

10.1007/s10986-009-9063-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we consider the Sparre Andersen model in the collective risk theory. Assuming that the claim sizes have the semiexponential distribution function, we obtain the second-order asymptotics for the ruin probability expressed in terms of claim distribution. The result is illustrated by two important examples of semiexponential distribution functions, Weibull and Benktander-type-II distributions.

引用

页码：364 / 371

页数：8

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