Abstract
In this paper, we consider the Sparre Andersen insurance risk model with initial surplus x > 0. Let Ax denote the deficit at the time of ruin. Assuming that the tail probabilities of claim size are regularly varying, the second-order asymptotic of the deficit distribution and its moments at the time of ruin are derived.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have