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Embrechts, P.; Veraverbeke, N.

Estimates for the probability of ruin with special emphasis on the possibility of large claims. (English) Zbl 0518.62083

Insur. Math. Econ. 1, 55-72 (1982).
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Cited in 5 Reviews
Cited in 170 Documents

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
60G50 Sums of independent random variables; random walks

Keywords:

large claims; Andersen model; Poisson model; random walk; subexponential distributions; Wiener-Hopf factors; asymptotic behavior of ruin probability
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\textit{P. Embrechts} and \textit{N. Veraverbeke}, Insur. Math. Econ. 1, 55--72 (1982; Zbl 0518.62083)
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References:

[1] Andersen, E.Sparre, On the collective theory of risk in case of contagion between claims, (), 219-229, New York
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[8] Chung, K.L., ()
[9] Embrechts, P.; Goldie, C.M., On convolution tails, Stochastic processes and its applications, 13, (1981), to appear
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[15] Prabhu, N.U., ()
[16] Prabhu, N.U., ()
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[19] Teugels, J.L., The class of subexponential distributions, Ann. probability, 3, 1000-1011, (1975) · Zbl 0374.60022
[20] Teugels, J.L.; Veraverbeke, N., Cramér-type estimates for the probability of ruin, C.O.R.E. discussion paper no. 7316, (1973)
[21] Thorin, O., Some remarks on the ruin problem in case the epochs of claims form a renewal process, Skand. aktuar. tidskr., 29-50, (1970) · Zbl 0218.60082
[22] Thorin, O.; Wikstad, N., Calculation of ruin probabilities when the claim distribution is lognormal, Astin bulletin, (1976)
[23] Veraverbeke, N., Asymptotic behaviour of Wiener-Hopf factors of a random walk, Stochastic processes and its applications, 5, 27-37, (1977) · Zbl 0353.60073
[24] von Bahr, B., Asymptotic ruin probabilities when exponential moments do not exist, Scand. actuariat J., 6-10, (1975) · Zbl 0321.62102
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