ASYMPTOTIC ORDERING OF RISKS AND RUIN PROBABILITIES

Authors
KLUPPELBERG C
Citation
C. Kluppelberg, ASYMPTOTIC ORDERING OF RISKS AND RUIN PROBABILITIES, Insurance. Mathematics & economics, 12(3), 1993, pp. 259-264
Citations number
15
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
12
Issue
3
Year of publication
1993
Pages
259 - 264
Database
ISI
SICI code
0167-6687(1993)12:3<259:AOORAR>2.0.ZU;2-T
Abstract
We introduce asymptotic orderings of distributions which imply orderin gs of ruin probabilities in the range of the Cramer case through some intermediate cases to large claims distributions. This allows to give bounds for ruin probabilities where it is not possible to give exact e stimates.