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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… Click to show full 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.
Keywords:
renewal risk;
order;
compound renewal;
probability;
risk model;
second order
Journal Title: Methodology and Computing in Applied Probability
Year Published: 2021
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Journal Title: Methodology and Computing in Applied Probability
Year Published: 2021
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!