Abstract
In this article, we consider risk models with a heavy-tailed parametric claim distribution from the subexponential class 𝒮 with at least two parameters. We choose the proper convergence of a parameter, such that the tail of the claims distribution becomes heavier, and then we study the limit behavior of the ruin probability. Further, we employ an appropriate functional normalization in order to keep intact the distributional properties.
Mathematics Subject Classification:
Acknowledgments
The author would like to thank the referees for their constructive remarks that brought significant insight to the article.