Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

DOI10.1239/AAP/1293113154zbMATH Open1205.62061OpenAlexW2056287528MaRDI QIDQ3074498FDOQ3074498

Authors: Jinzhu Li, Rong Wu, Qihe Tang 

Publication date: 9 February 2011

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

Full work available at URL: https://doi.org/10.1239/aap/1293113154

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zbMATH Keywords

asymptoticsdependenceuniformityextended regular variationsubexponentialitydiscounted aggregate claims

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited In (only showing first 100 items - show all)

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• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• On pairwise quasi-asymptotically independent random variables and their applications
• Interplay of financial and insurance risks in dependent discrete-time risk models
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