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proske
2020-02-20T17:19:43.385Z
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www.uio.no

In our last lessons (4./6., 11./13. and 18./20. February) we studied the exact asymptotics of ruin probabilities in the case of both large and small claim sizes (see Chapter 1 in the book of Embrechts). Further, we also discussed some basic results from the theory of regularly varying functions, which are useful for the analysis of heavy-tailed claim size distributions.

Next time (25./27. Feb.) we will start with Chapter 3 in the book of Embrechts, which is devoted to "central limit theorems" for maximal insurance claim sizes. The latter is important in the practical study of large claims, which may lead to the spontaneous ruin of an insurance company,

Solutions to Exercises 3 will be presented on Thursday, 27. Feb.