Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

DOI10.1239/jap/1183667401zbMath1211.91152OpenAlexW2106909869MaRDI QIDQ5443731

Qi-he Tang

Publication date: 22 February 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1183667401

zbMATH Keywords

asymptoticsuniformityextended regular variationrenewal process

Mathematics Subject Classification ID

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Cites Work

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• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Randomly weighted sums of subexponential random variables with application to ruin theory
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Subexponential distributions and dominated-variation tails
• Ruin probabilities in the presence of heavy-tails and interest rates
• Large deviations of heavy-tailed random sums with applications in insurance and finance
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Applied Probability and Queues
• Large deviations of sums of independent random variables

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