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Estimation of ruin probabilities by means of hazard rates. (English) Zbl 0686.62093
Summary: We show that the asymptotic behaviour of the hazard rate of the claim- size distribution determines not only the singular point of the moment generating function but can also be used to estimate the asymptotic ruin probability. We shall use these results to classify the relevant claim- size distributions and calculate the respective ruin probabilities. Hereby we shall concentrate on the case where Cramér’s method does not work.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
62E20 Asymptotic distribution theory in statistics
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