NB ! Lesson/exercises

In order to study the exact asymptotics of ruin probabilities in the case of large claim sizes (17./19. and 24. Feb.), we started in our last lesson (12. Feb.) with the discussion of some basic results from the theory of regularly varying functions, which are useful for the analysis of heavy-tailed claim size distributions. See Chapter 1 in the book of Embrechts.

Then we are planning to continue with Chapter 3 in the book of Embrechts, which is devoted to "central limit theorems" for maximal insurance claim sizes. The latter is important for the practical study of large claims, which may cause the spontaneous ruin of an insurance company.

Solutions to Exercises 2 and 3 will be presented after the first hour on Friday, 19. Feb., 11:15-12:00.