Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model

被引：3

作者：

Yang, Yang ^{[1
]}

Wang, Xinzhi ^{[1
]}

Chen, Shaoying ^{[1
]}

机构：

[1] Nanjing Audit Univ, Sch Stat & Math, Nanjing 211815, Peoples R China

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2022年 / 24卷 / 02期

关键词：

Compound renewal risk model; Infinite-time ruin probability; Second order asymptotic behavior; Second order subexponential distribution; Crude Monte-Carlo simulation;

D O I：

10.1007/s11009-021-09862-w

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1221 / 1236

页数：16

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