Stochastic Systems (Jan 2014)

Second order corrections for the limits of normalized ruin times in the presence of heavy tails

  • Dominik Kortschak,
  • Søren Asmussen

DOI
https://doi.org/10.1214/11-SSY054
Journal volume & issue
Vol. 3, no. 2
pp. 591 – 633

Abstract

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In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper we derive the rate of convergence for this finite time ruin probability when the claims are regularly varying with a finite second moment.

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