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- Title
Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model.
- Authors
Yang, Yang; Wang, Xinzhi; Chen, Shaoying
- Abstract
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.
- Subjects
MONTE Carlo method; PROBABILITY theory
- Publication
Methodology & Computing in Applied Probability, 2022, Vol 24, Issue 2, p1221
- ISSN
1387-5841
- Publication type
Article
- DOI
10.1007/s11009-021-09862-w