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
收藏
页码：364 / 371
页数：8
相关论文
共 50 条
  • [21] Decision Making with Second-Order Imprecise Probabilities
    Aliev, Rafik
    Pedrycz, W.
    Zeinalova, L. M.
    Huseynov, O. H.
    INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS, 2014, 29 (02) : 137 - 160
  • [22] Uncertainty aversion with second-order utilities and probabilities
    Nau, RF
    MANAGEMENT SCIENCE, 2006, 52 (01) : 136 - 145
  • [23] Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
    Chen, Yiqing
    Yuen, Kam C.
    Ng, Kai W.
    APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2011, 27 (03) : 290 - 300
  • [24] Ruin probabilities for Bayesian exchangeable claims processes
    Coen, Arrigo
    Mena, Ramses H.
    JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2015, 166 : 102 - 115
  • [25] EXPLICIT ANALYTIC RUIN PROBABILITIES FOR BOUNDED CLAIMS
    DEVYLDER, F
    MARCEAU, E
    INSURANCE MATHEMATICS & ECONOMICS, 1995, 16 (01): : 79 - 105
  • [26] RUIN PROBABILITIES ALLOWING FOR DELAY IN CLAIMS SETTLEMENT
    WATERS, HR
    PAPATRIANDAFYLOU, A
    INSURANCE MATHEMATICS & ECONOMICS, 1985, 4 (02): : 113 - 122
  • [27] On the second-order asymptotics for entanglement-assisted communication
    Nilanjana Datta
    Marco Tomamichel
    Mark M. Wilde
    Quantum Information Processing, 2016, 15 : 2569 - 2591
  • [28] Second-order asymptotics for convolution of distributions with light tails
    Peng, Zuoxiang
    Liao, Xin
    STATISTICS & PROBABILITY LETTERS, 2015, 106 : 199 - 208
  • [29] Eigenvalue asymptotics for second-order elliptic operators on networks
    von Belowa, Joachim
    Lubary, Jose A.
    ASYMPTOTIC ANALYSIS, 2012, 77 (3-4) : 147 - 167
  • [30] Second-Order Asymptotics for Communication Under Strong Asynchronism
    Li, Longguang
    Tchamkerten, Aslan
    IEEE TRANSACTIONS ON INFORMATION THEORY, 2019, 65 (05) : 2838 - 2849
12345