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Second-order asymptotics for the ruin probability in the case of very large claims

✍ Scribed by A. Baltrunas


Book ID
110620112
Publisher
SP MAIK Nauka/Interperiodica
Year
1999
Tongue
English
Weight
465 KB
Volume
40
Category
Article
ISSN
0037-4466

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Asymptotics for the ruin probabilities o
✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 147 KB πŸ‘ 2 views

In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty