ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK
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Publication:5349308
DOI10.1017/S026996481400014XzbMath1369.91088arXiv1404.5771MaRDI QIDQ5349308
Publication date: 24 August 2017
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.5771
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Asymptotics of convolution with the semi-regular-variation tail and its application to risk, 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, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, Asymptotic results on tail moment for light-tailed risks, Expectation of the truncated randomly weighted sums with dominatedly varying summands, Tails of higher-order moments with dominatedly varying summands, Tail asymptotics of light-tailed Weibull-like sums
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