Asymptotic ruin probabilities when exponential moments do not exist
- 1 January 1975
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1975 (1) , 6-10
- https://doi.org/10.1080/03461238.1975.10405073
Abstract
Almost all analytical studies of the probability of ruin in risk business have been based on the assumption that the moment generating function of the claim distribution is finite for some positive real argument. But it is well known that in many practical cases, the claim distribution is well described by distribution functions where this condition is not satisfied (cf. the frequent use of Pareto distributions in this context, see below).Keywords
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