Asymptotics for a discrete-time risk model with Gamma-like insurance risks

DOI10.1080/03461238.2015.1004802zbMATH Open1401.91206OpenAlexW2017128943MaRDI QIDQ4575366FDOQ4575366

Yang Yang, Kam Chuen Yuen

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214580

zbMATH Keywords

asymptoticsfinite-time and infinite-time ruin probabilitiesSarmanov distributioninsurance and financial risksgamma-like tailstochastic discounted value of aggregate net losses

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Cited In (11)

• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Tails of higher-order moments with dominatedly varying summands
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Title not available (Why is that?)
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Interplay of subexponential and dependent insurance and financial risks
• Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses

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