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
Volume 1, Issue 2, May 2017, Pages: 40-45
Received: Mar. 11, 2017; Accepted: Mar. 28, 2017; Published: Apr. 15, 2017
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Rovshan Aliyev, Department of Operation Research and Probability Theory, Applied Mathematics and Cybernetics, Baku State University, Institute of Control Systems of ANAS, Baku, Azerbaijan
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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.
Sparre Andersen Risk Process, Reinsurance, Ruin Probability, Second-Order Asymptotic Expansion, Semiexponential Distribution
To cite this article
Rovshan Aliyev, 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. Vol. 1, No. 2, 2017, pp. 40-45. doi: 10.11648/j.ijsas.20170102.12
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This article is an open access article distributed under the Creative Commons Attribution License ( which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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