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Sensitivity analysis on ruin probabilities with heavy-tailed claims. (English) Zbl 1248.60104
Summary: We consider the classical insurance risk model with heavy-tailed claim distributions. By using the Pollaczek-Khinchin Formula, we provide some sensitivity analysis on the ruin probability.

60K30Applications of queueing theory
60K25Queueing theory
Full Text: DOI
[1] Asmussen, S.: Ruin probabilities. (2000) · Zbl 0960.60003
[2] Bingham, N. H.; Goldie, C. M.; Teugels, J. L.: Regular variation. (1987)
[3] Embrechts, P.; Klüppelberg, C.; Mikosch, T.: Modelling extremal events for insurance and finance. (1997)
[4] Embrechts, P.; Veraverbeke, N.: Estimates for the probability of ruin with special emphasis on the possibility of large claims. Insurance: mathematics and economics 1, 55-72 (1982) · Zbl 0518.62083
[5] Klüppelberg, C.: Subexponential distributions and integrated tails. Journal of applied probability 25, 132-141 (1988) · Zbl 0651.60020