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Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses

  • Abdelaziz RassoulEmail author
Chapter
Part of the EAA Series book series (EAAS)

Abstract

The chapter is devoted to the study of asymptotically normal estimators for the ruin probability in infinite time horizon, for insurance models with large initial reserves and heavy-tailed claim distributions. Our considerations are based on the extreme quantile approach. A simulation study illustrates the main results.

Keywords

Central Limit Theorem Asymptotic Normality Tail Index Confidence Bound Infinite Time Horizon 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  1. 1.National High School of HydraulicsBlidaAlgeria

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