Some asymptotic results for sums of dependent random variables, with actuarial applications
From MaRDI portal
Publication:2581774
The authors derive asymptotic relations for the tail probability for the distribution of a weighted sum of products of independent and identically distributed random variables in the presence of heavy-tailedness conditions. Three actuarial applications concerning (1) general stochastically discounted loss reserves, (2) IBNR loss reserves, and (3) the hurdle race problem are discussed and numerical illustrations are given.
Recommendations
- scientific article; zbMATH DE number 5018538
- Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
- On a method for the approximation of the sums of random variables in actuarial finance
- Tail behavior of the sums of dependent and heavy-tailed random variables
- Approximation of the tail probability of dependent random sums under consistent variation and applications
Cites work
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Confidence bounds for discounted loss reserves.
- Convolution tails, product tails and domains of attraction
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- The hurdle-race problem.
- The value of an Asian option
- Upper and lower bounds for sums of random variables
Cited in
(20)- Worst VaR scenarios: A remark
- The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
- Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks
- On linear combination of generalized logistic random variables with an application to financial returns
- Asymptotic results for conditional measures of association of a random sum
- Second order risk aggregation with the Bernstein copula
- The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Some problems in actuarial finance involving sums of dependent risks
- On the independence between risk profiles in the compound collective risk actuarial model
- The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
- Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
- On a method for the approximation of the sums of random variables in actuarial finance
- Expected utility and catastrophic consumption risk
- scientific article; zbMATH DE number 5018538 (Why is no real title available?)
- The expectation and variance of dependent random sums using copulas
- On a multivariate Pareto distribution
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- The principle of a single big jump from the perspective of tail moment risk measure
This page was built for publication: Some asymptotic results for sums of dependent random variables, with actuarial applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2581774)
