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Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims

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  • Jianxi Lin

Abstract

Since the pioneer work by H. Cramér, the asymptotic estimate of ruin probabilities has been extensively investigated by many researchers. Under heavy-tailed claims, Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) established the second order asymptotics for the ruin probabilities of the ordinary renewal risk model. In this paper, we extends the corresponding result in Lin (2012, Insurance: Mathematics and Economics 51 (2):422–429) to the case of the delayed renewal risk model.

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  • Jianxi Lin, 2021. "Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(5), pages 1200-1209, March.
    • Handle: RePEc:taf:lstaxx:v:50:y:2021:i:5:p:1200-1209
    DOI: 10.1080/03610926.2019.1648828
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    Cited by:

    1. 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.

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