On asymptotics of deficit distribution and its moments at the time of ruin |
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| Authors: | A. Aleškevičienė |
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| Affiliation: | (1) Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH 43403, USA;(2) Department of Mathematics, University of Louisville, 328 Natural Sciences Building, Louisville, KY 40292, USA;(3) Department of Mathematics, California State University Stanislaus, One University Circle, Turlock, CA 95382, USA |
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| Abstract: | In this paper, we consider the Sparre Andersen insurance risk model with initial surplus x > 0. Let Ax denote the deficit at the time of ruin. Assuming that the tail probabilities of claim size are regularly varying, the second-order asymptotic of the deficit distribution and its moments at the time of ruin are derived. |
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