In this study the Sparre Andersen risk process with reinsurance is considered. The second-order asymptotic expansion for the ruin probability is obtained, when the claim sizes have the strongly semiexponential distribution. Moreover, numerical examples in cases proportional reinsurance and exsess stop loss reinsurance are provided.
DOI | 10.11648/j.ijsas.20170102.12 |
Published in | International Journal of Statistics and Actuarial Science ( Volume 1, Issue 2, May 2017 ) |
Page(s) | 40-45 |
Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
Copyright |
Copyright © The Author(s), 2024. Published by Science Publishing Group |
Sparre Andersen Risk Process, Reinsurance, Ruin Probability, Second-Order Asymptotic Expansion, Semiexponential Distribution
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APA Style
Rovshan Aliyev. (2017). Second-Order Asymptotic Expansion for the Ruin Probability of the Sparre Andersen Risk Process with Reinsurance and Stronger Semiexponential Claims. International Journal of Statistics and Actuarial Science, 1(2), 40-45. https://doi.org/10.11648/j.ijsas.20170102.12
ACS Style
Rovshan Aliyev. Second-Order Asymptotic Expansion for the Ruin Probability of the Sparre Andersen Risk Process with Reinsurance and Stronger Semiexponential Claims. Int. J. Stat. Actuarial Sci. 2017, 1(2), 40-45. doi: 10.11648/j.ijsas.20170102.12
@article{10.11648/j.ijsas.20170102.12, author = {Rovshan Aliyev}, title = {Second-Order Asymptotic Expansion for the Ruin Probability of the Sparre Andersen Risk Process with Reinsurance and Stronger Semiexponential Claims}, journal = {International Journal of Statistics and Actuarial Science}, volume = {1}, number = {2}, pages = {40-45}, doi = {10.11648/j.ijsas.20170102.12}, url = {https://doi.org/10.11648/j.ijsas.20170102.12}, eprint = {https://download.sciencepg.com/pdf/10.11648.j.ijsas.20170102.12}, abstract = {In this study the Sparre Andersen risk process with reinsurance is considered. The second-order asymptotic expansion for the ruin probability is obtained, when the claim sizes have the strongly semiexponential distribution. Moreover, numerical examples in cases proportional reinsurance and exsess stop loss reinsurance are provided.}, year = {2017} }
TY - JOUR T1 - Second-Order Asymptotic Expansion for the Ruin Probability of the Sparre Andersen Risk Process with Reinsurance and Stronger Semiexponential Claims AU - Rovshan Aliyev Y1 - 2017/04/15 PY - 2017 N1 - https://doi.org/10.11648/j.ijsas.20170102.12 DO - 10.11648/j.ijsas.20170102.12 T2 - International Journal of Statistics and Actuarial Science JF - International Journal of Statistics and Actuarial Science JO - International Journal of Statistics and Actuarial Science SP - 40 EP - 45 PB - Science Publishing Group UR - https://doi.org/10.11648/j.ijsas.20170102.12 AB - In this study the Sparre Andersen risk process with reinsurance is considered. The second-order asymptotic expansion for the ruin probability is obtained, when the claim sizes have the strongly semiexponential distribution. Moreover, numerical examples in cases proportional reinsurance and exsess stop loss reinsurance are provided. VL - 1 IS - 2 ER -