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

DOI10.1080/03461238.2015.1004802zbMATH Open1401.91206OpenAlexW2017128943MaRDI QIDQ4575366FDOQ4575366

Authors: 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

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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)

Cites Work

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• On convolution equivalence with applications
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Asymptotics of random contractions
• Asymptotics for a discrete-time risk model with the emphasis on financial risk
• ECOMOR and LCR reinsurance with gamma-like claims

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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