Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

DOI10.1007/s10959-021-01143-zMaRDI QIDQ2100010

Shuang Liu, Yang Yang, Kam-Chuen Yuen

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-021-01143-z

zbMATH Keywords

second-order expansion; Farlie-Gumbel-Morgenstern distribution; discrete-time risk model; second-order subexponential distribution; tail probability of aggregate net loss

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E10: Characterization and structure theory of statistical distributions

Uses Software

• QRM