Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims

作者：Lin, Jianxi^*

来源：Insurance: Mathematics and Economics , 2012, 51(2): 422-429.

DOI：10.1016/j.insmatheco.2012.07.001

• Heavy-tailed distributions
• The convergence rate
• Ruin probability
• Renewal risk model
• Ladder height
• Random walk

In this paper, we establish the second order asymptotics of ruin probabilities of a renewal risk model under the condition that the equilibrium distribution of claim sizes belongs to a rather general heavy-tailed distribution subclass-the class of second order subexponential distributions with finite mean. What is more, this requirement is proved to be necessary. Furthermore, a rather general sufficient condition on the claim size distribution itself is presented. Moreover, an extension to the case of random walk is also included.

• 出版日期2012-9
• 单位厦门大学