Workshop: Concluding Workshop
Time: Thu, December 04, 2008, 14:30-15:00
Speaker: Dominik Kortschak
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.
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