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

DOI10.1016/J.SPL.2011.07.021zbMATH Open1232.91339OpenAlexW2061626511MaRDI QIDQ645446FDOQ645446

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

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zbMATH Keywords

asymptoticscorrelationuniformityheavy-tailed distributiondiscounted aggregate claims

Mathematics Subject Classification ID

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

Cites Work

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• Title not available (Why is that?)
• Subexponential distributions and integrated tails
• A Note on Cumulative Sums
• On the first time of ruin in the bivariate compound Poisson model
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Weighted sums of subexponential random variables and their maxima
• On a correlated aggregate claims model with Poisson and Erlang risk processes.

Cited In (5)

• On the distributions of two classes of correlated aggregate claims
• Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
• 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
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails

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