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



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