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Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Methodology and Computing in Applied Probability ( IF 1.0 ) Pub Date : 2021-04-30 , DOI: 10.1007/s11009-021-09862-w
Yang Yang , Xinzhi Wang , Shaoying Chen

Consider a compound renewal risk model, in which a single accident may cause more than one claim. Under the condition that the common distribution of the individual claims is second order subexponential, we establish a second order asymptotic formula for the infinite-time ruin probability. Compared with the traditional ones, our second order asymptotic result is more precise and effective, which can be demonstrated by the numerical studies.



中文翻译:

复合更新风险模型中无限时间破产概率的二阶渐近性

考虑一个复合续签风险模型,在该模型中,一次事故可能会导致多个索赔。在单个索赔的共同分布为二阶次指数的情况下,我们建立了无限次破产概率的二阶渐近公式。与传统方法相比,我们的二阶渐近结果更加精确和有效,这可以通过数值研究来证明。

更新日期:2021-04-30
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