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

Author

Listed:
  • Yang Yang

    (Nanjing Audit University)

  • Xinzhi Wang

    (Nanjing Audit University)

  • Shaoying Chen

    (Nanjing Audit University)

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.

Suggested Citation

  • Yang Yang & Xinzhi Wang & Shaoying Chen, 2022. "Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1221-1236, June.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09862-w
    DOI: 10.1007/s11009-021-09862-w
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    References listed on IDEAS

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