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- W2116836091 abstract "In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper we derive the rate of convergence for this finite time ruin probability when the claims are regularly varying with a finite second moment." @default.
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- W2116836091 date "2013-12-01" @default.
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- W2116836091 title "Second Order Corrections for the Limits of Normalized Ruin Times in the Presence of Heavy Tails" @default.
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- W2116836091 doi "https://doi.org/10.1287/11-ssy054" @default.
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