The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

DOI10.1080/03461230500361943zbMath1144.91026OpenAlexW2164551850MaRDI QIDQ5430560

Raluca Vernic, Marc J. Goovaerts, Rob Kaas, Roger J. A. Laeven, Qi-he Tang

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1080/03461230500361943

zbMATH Keywords

tail probabilityasymptoticPareto-like distribution(log)elliptical distribution(log)normal variance-mean mixed distribution

Mathematics Subject Classification ID

Cites Work

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• Unnamed Item
• Subexponentiality of the product of independent random variables
• Limit theory for bilinear processes with heavy-tailed noise
• Ruin problems with assets and liabilities of diffusion type
• On the ruin probabilities in a general economic environment
• Moving averages with random coefficients and random coefficient autoregressive models
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

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