Estimation of ruin probabilities by means of hazard rates

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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.

Original languageEnglish
Pages (from-to)279-285
Number of pages7
JournalInsurance: Mathematics and Economics
Issue number4
StatePublished - Dec 1989
Externally publishedYes


  • Asymptotic ruin probability
  • Convolution-equivalent distributions
  • Non-Cramér case
  • Subexponential distributions


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