Second order corrections for the limits of normalized ruin times in the presence of heavy tails
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 f...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2014-01-01
|
| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=54&layout=abstract |