統計数学セミナー
Seminar on Probability and Statistics
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Seminar on Probability and Statistics
Friday October 19 2012
Tokyo 006
2:50-4:00 pm


Asymptotic expansion of ruin probability under Lévy insurance risks


清水 泰隆 / SHIMIZU, Yasutaka
大阪大学大学院基礎工学研究科 / Graduate School of Engineering Science, Osaka University

Abstract

An asymptotic expansion formula of the ultimate ruin probability under L'evy insurance risks is given as the loading factor tends to zero. The formula is obtained via the Edgeworth type expansion of the compound geometric random sum. We give higher-order expansions of the ruin probability with a certain validity. This allows us to evaluate quantile of the ruin function, which is nicely applied to estimate the VaR-type risk measure due to ruin.




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Seminar on Probability and Statistics