Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model

DOI10.1080/03610926.2014.1000499MaRDI QIDQ2979013zbMATH OpenOpenAlexFDO

Authors Ke-Ang Fu, Jie Li

Publication date 2 May 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.1000499

zbMATH Keywords

uniformitydominatedly varying taillong taildiscounted aggregate claimstime-dependent risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Extremes on the discounted aggregate claims in a time dependent risk model
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On the first time of ruin in the bivariate compound Poisson model
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Subexponentiality of the product of independent random variables
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
• The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails

Cited in

(5)

• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• On the distributions of two classes of correlated aggregate claims

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