OEAW-Logo RICAM-Logo
Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Asymptotic properties of compound distribution tails

Workshop: Concluding Workshop

Time: Thu, December 04, 2008, 14:30-15:00

Speaker: Dominik Kortschak

Abstract

In this talk we provide some results on higher order asymptotic
expansions for the compound sum of subexponential random variables,
which subsequently lead to expansions for ruinprobability in the
Cramer-Lundberg model risk models.
Further in the special case of the Cramer-Lundberg model with Pareto
claimsize distribution we derive an integral representation for the
ruinprobability. Using this integral representation we derive a
complete asymptotic expansion of the ruin probability. This is joined
work with H.Albrecher and C. Hipp.

< Back | ^ Top


URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php

This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 11/28/22 - 15:55 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST

Impressum