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

DOI10.1016/j.spl.2011.07.021zbMath1232.91339MaRDI QIDQ645446

Lixin Song, Xiaodong Bai

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

correlation; asymptotics; uniformity; heavy-tailed distribution; discounted aggregate claims

Mathematics Subject Classification ID

62H20: Measures of association (correlation, canonical correlation, etc.)

60E05: Probability distributions: general theory

Related Items

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

Cites Work

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