The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails

DOI10.1016/J.SPL.2011.07.021MaRDI QIDQ645446zbMATH OpenOpenAlexFDO

Authors Xiaodong Bai, Lixin Song

Publication date 15 November 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.07.021

zbMATH Keywords

asymptoticscorrelationuniformityheavy-tailed distributiondiscounted aggregate claims

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A Note on Cumulative Sums
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• On a correlated aggregate claims model with Poisson and Erlang risk processes.
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• On the first time of ruin in the bivariate compound Poisson model
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Subexponential distributions and integrated tails
• Weighted sums of subexponential random variables and their maxima

Cited in

(5)

• Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• On the distributions of two classes of correlated aggregate claims

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