Extremes on the discounted aggregate claims in a time dependent risk model

DOI10.1080/03461230802700897zbMath1224.91041OpenAlexW3123697640MaRDI QIDQ3077753

Andrei L. Badescu, Alexandru V. Asimit

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/13127/1/Vali_And_revision_submitted.pdf

zbMATH Keywords

value-at-risksubexponential distributiondependencecompound Poisson risk modeldiscounted aggregate loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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