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Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

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  • Leipus, Remigijus
  • Siaulys, Jonas

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  • Leipus, Remigijus & Siaulys, Jonas, 2007. "Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 498-508, May.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:498-508
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    References listed on IDEAS

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    1. Thorin, Olof & Wikstad, Nils, 1977. "Calculation of Ruin Probabilities when the Claim Distribution is Lognormal," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 231-246, January.
    2. Sgibnev, M. S., 1997. "Submultiplicative moments of the supremum of a random walk with negative drift," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 377-383, April.
    3. Baltru-nas, Aleksandras, 2005. "Second order behaviour of ruin probabilities in the case of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 485-498, June.
    4. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 55-72, January.
    5. Baltrunas, A. & Daley, D. J. & Klüppelberg, C., 2004. "Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 237-258, June.
    6. Tang, Qihe & Su, Chun & Jiang, Tao & Zhang, Jinsong, 2001. "Large deviations for heavy-tailed random sums in compound renewal model," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 91-100, March.
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    Cited by:

    1. Lu, Dawei & Zhang, Bin, 2016. "Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 20-29.
    2. Yang Yang & Xinzhi Wang & Shaoying Chen, 2022. "Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1221-1236, June.
    3. Yang Yang & Xinzhi Wang & Xiaonan Su & Aili Zhang, 2019. "Asymptotic Behavior of Ruin Probabilities in an Insurance Risk Model with Quasi-Asymptotically Independent or Bivariate Regularly Varying-Tailed Main Claim and By-Claim," Complexity, Hindawi, vol. 2019, pages 1-6, October.
    4. Remigijus Leipus & Jonas Šiaulys, 2009. "Asymptotic behaviour of the finite‐time ruin probability in renewal risk models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 309-321, May.

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