A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
Copyright policy )A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
Summary: This paper investigates the tail asymptotic behavior of the severity of ruin (the deficit at ruin) in the renewal model. Under the assumption that the tail probability of the claim size is dominatedly varying a uniform asymptotic formula for the tail probability of the deficit at ruin is obtained.
Applications of statistics to actuarial sciences and financial mathematics, Applications of renewal theory (reliability, demand theory, etc.), asymptotics, Statistics of extreme values; tail inference, Risk theory, insurance, tail probability, renewal risk model, ruin probability, ladder height, heavy tails
Applications of statistics to actuarial sciences and financial mathematics, Applications of renewal theory (reliability, demand theory, etc.), asymptotics, Statistics of extreme values; tail inference, Risk theory, insurance, tail probability, renewal risk model, ruin probability, ladder height, heavy tails
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