Second-order asymptotics of ruin probabilities for semiexponential claims |
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| Authors: | A. Aleškevičienė R. Leipus J. Šiaulys |
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| Affiliation: | 1.Vilnius University,Vilnius,Lithuania;2.Institute of Mathematics and Informatics,Vilnius,Lithuania |
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| Abstract: | In this paper, we consider the Sparre Andersen model in the collective risk theory. Assuming that the claim sizes have the semiexponential distribution function, we obtain the second-order asymptotics for the ruin probability expressed in terms of claim distribution. The result is illustrated by two important examples of semiexponential distribution functions, Weibull and Benktander-type-II distributions. |
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