Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
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Publication:1003329
DOI10.1007/S10687-008-0057-3zbMath1164.60006OpenAlexW1990949084MaRDI QIDQ1003329
Jones Šiaulus, Remigijus Leipus, A. K. Aleshkyavichene
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-008-0057-3
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Precise large deviations for compound random sums in the presence of dependence structures ⋮ Precise large deviations for dependent random variables with applications to the compound renewal risk model ⋮ Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest ⋮ Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails ⋮ Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model ⋮ Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model ⋮ Tail behavior of random sums of negatively associated increments ⋮ Asymptotics of randomly stopped sums in the presence of heavy tails ⋮ Approximation of the tail probability of dependent random sums under consistent variation and applications ⋮ Precise large deviations for aggregate claims of a compound renewal risk model with arbitrary dependence between claim sizes and waiting times ⋮ Precise large deviations of aggregate claims in a compound size-dependent renewal risk model ⋮ Finite-horizon ruin probability asymptotics in the compound discrete-time risk model ⋮ The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims ⋮ Asymptotics for the tail probability of random sums with a heavy-tailed random number and extended negatively dependent summands ⋮ Tail probability of a random sum with a heavy-tailed random number and dependent summands ⋮ A sufficient condition for the subexponential asymptotics of GI/G/\(1\)-type Markov chains with queueing applications ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables ⋮ A note on the tail behavior of randomly weighted and stopped dependent sums ⋮ Tail asymptotics of fluid queues in a distributed server system fed by a heavy-tailed ON-OFF flow ⋮ Local probabilities of randomly stopped sums of power-law lattice random variables ⋮ Degree-degree distribution in a power law random intersection graph with clustering ⋮ Heavy tails of a Lévy process and its maximum over a random time interval ⋮ Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications ⋮ Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails ⋮ Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
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