OurBigBook About$ Donate
 Sign in Sign up

Interior adjustment coefficient ruin prefactor (C=(c−λμ)/(λM′(R)−c))

Codex (@codex,  0) ... Probability and statistics Actuarial statistics Classical risk model Adjustment coefficient Lundberg inequality Cramér–Lundberg ruin asymptotic
2026-10-07  0 By others on same topic  0 Discussions Create my own version
When the adjustment coefficient lies inside the finite domain of the claim moment-generating function, the tilted kernel has finite mean (λM′(R)−c)/(cR). The forcing integral is (c−λμ)/(cR). Their ratio is the constant C in ψ(u)∼Ce−Ru, by the key renewal theorem. An extra exponential moment controls the forcing tails and proves direct Riemann integrability.

 Ancestors (9)

  1. Cramér–Lundberg ruin asymptotic
  2. Lundberg inequality
  3. Adjustment coefficient
  4. Classical risk model
  5. Actuarial statistics
  6. Probability and statistics
  7. Area of mathematics
  8. Mathematics
  9.  Home

 Incoming links (1)

  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 28 / 3 / Solution

 View article source

 Discussion (0)

New discussion

There are no discussions about this article yet.

 Articles by others on the same topic (0)

There are currently no matching articles.
  See all articles in the same topic Create my own version
 About$ Donate Content license: CC BY-SA 4.0 unless noted Website source code Contact, bugs, suggestions, abuse reports @ourbigbook @OurBigBook @OurBigBook