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

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


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.


Central Limit Theorem Asymptotic Normality Tail Index Confidence Bound Infinite Time Horizon 
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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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