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Original Articles

Extremal Subexponentiality in Ruin Probabilities

Pages 2907-2918 | Received 26 Mar 2010, Accepted 29 Dec 2010, Published online: 09 Jun 2011

References

  • Asmussen , S. ( 2000 ). Ruin Probabilities . Singapore : World Scientific .
  • Embrechts , P. , Veraverbeke , N. ( 1982 ). Estimates for the probability of ruin with special emphasis on the possibility of large claims . Insur. Math. Econ. 1 : 55 – 72 .
  • Embrechts , P. , Klueppelberg , C. , Mikosch , T. ( 1997 ). Modelling Extremal Events for Finance and Insurance . Heildelberg : Springer-Verlag .
  • Kalashnikov , V. V. ( 1978 ). Qualitative Analysis of the Behavior of Complex Systems by Test Functions Method . Moscow : Nauka . (in Russian)
  • Kalashnikov , V. V. ( 1997 ). Geometric Sums: Bounds for Rare Events with Applications . Dordrecht : Kluwer .
  • Kalashnikov , V. V. , Tsitsiashvili , G. Sh. ( 1973 ). On the stability of queueing systems with respect to disturbances of their distribution functions . Eng. Cybern. 10 : 211 – 217 .
  • Konstantinidis , D. G. ( 1999 ). Comparison of ruin probability estimates in the presence of heavy tails . J. Math. Sci. New York 93 : 552 – 562 .
  • Tsitsiashvili , G. Sh. , Konstantinides , D. G. ( 2001 ). Supertails in risk theory . Far Eastern Math. J. 2 : 68 – 76 .

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