Second order corrections for the limits of normalized ruin times in the presence of heavy tails

Dominik Kortschak, Søren Asmussen

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Original languageEnglish
JournalStochastic Systems
Volume3
Issue2
Pages (from-to)591-633
Number of pages43
ISSN1946-5238
DOIs
Publication statusPublished - 2013

Keywords

  • Second order subexponentiality
  • regular variation
  • finite time ruin probability
  • poisson process
  • risk process
  • transient behavior
  • M/G/1 queue
  • storage process

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