Mathematics – Probability
Scientific paper
2011-12-12
Mathematics
Probability
27 pages
Scientific paper
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper we derive the rate of convergence for this finite time ruin probability when the claims have a finite second moment. [1] S. Asmussen and C. Kl\"uppelberg. Large deviations results for subexponential tails, with applications to insurance risk. Stochastic Process. Appl., 64(1):103-125, 1996.
Asmussen Søren
Kortschak Dominik
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