The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
From MaRDI portal
Publication:645446
DOI10.1016/j.spl.2011.07.021zbMath1232.91339MaRDI QIDQ645446
Publication date: 15 November 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.07.021
62H20: Measures of association (correlation, canonical correlation, etc.)
60E05: Probability distributions: general theory
Related Items
Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails, Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence, Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest, Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
Cites Work
- Unnamed Item
- Unnamed Item
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- On a correlated aggregate claims model with Poisson and Erlang risk processes.
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Randomly weighted sums of subexponential random variables with application to ruin theory
- On the first time of ruin in the bivariate compound Poisson model
- Subexponential distributions and integrated tails
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Weighted sums of subexponential random variables and their maxima
- A Note on Cumulative Sums