MAP20140023813Hashorva, EnkelejdSecond-order tail asymptotics of deflated risks / Enkelejd Hashorva, Chengxiu Ling, Zuoxiang PengSumario: Random deflation of risk models is an interesting topic for both theoretical and practical actuarial problems. In this paper, we investigate second-order tail asymptotics of the deflated risk "X=RS" under the assumptions of second-order regular variation on the survival functions of the risk "R" and the deflator "S". Our findings are applied to derive second-order expansions of Value-at-Risk. Further we investigate the estimation of small tail probability for deflated risks and then discuss the asymptotics of the aggregated deflated risk.
