Second order corrections for the limits of normalized ruin times in the presence of heavy tails

Stochastic Systems

卷:3

Søren Asmussen¹  Dominik Kortschak² 

[1] Aarhus University;

[2] Université de Lyon;

关键词: second order subexponentiality;    regular variation;    finite time ruin probability;    poisson process;    risk Process;    transient behavior;    M/G/1 queue;    storage process;   

DOI  :  10.1214/11-SSY054

来源: DOAJ

【 摘 要 】

In this paper we consider a compound Poisson risk model with regularlyvarying claim sizes. For this model in [4]an asymptotic formula for the finite time ruin probability is providedwhen the time is scaled by the mean excess function. In this paper wederive the rate of convergence for this finite time ruin probabilitywhen the claims are regularly varying with a finite second moment.

【 授权许可】

Unknown