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JOURNALS // Dal'nevostochnyi Matematicheskii Zhurnal // Archive
Dal'nevost. Mat. Zh., 2001 Volume 2, Number 1, Pages 68–76 (Mi dvmg91)
This article is cited in 1 paper

Supertails in risk theory

G. Sh. Tsitsiashvilia, D. G. Konstantinidisb

a Institute of Applied Mathematics, Far-Eastern Branch of the Russian Academy of Sciences
b University of the Aegean

Abstract: The parameter of heaviness of claim distribution tail is introduced. The ruin probility behaviour when the parameter of heaviness tends to limit is studied. The most popular distribution families are examined.

UDC: 517.977

MSC: 60K25

Received: 14.02.2001


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