Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models

DOI10.1239/jap/1409932666zbMath1303.91097MaRDI QIDQ2923428

Dimitrios G. Konstantinides, Yang Yang, Kai Yong Wang

Publication date: 15 October 2014

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1409932666

zbMATH Keywords

uniformity; Lévy process; dependence; dominatedly varying tail; consistently varying tail; long tail; discounted aggregate claim

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G70: Extreme value theory; extremal stochastic processes

60K05: Renewal theory

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