Large deviations for the stochastic present value of aggregate claims in the renewal risk model

DOI10.1016/J.SPL.2015.02.020zbMATH Open1330.60049OpenAlexW1987249524MaRDI QIDQ893915FDOQ893915

Authors: Tao Jiang, Sheng Cui, Ruixing Ming 

Publication date: 23 November 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.020

Recommendations

• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• scientific article; zbMATH DE number 1475713
• Asymptotics in a time-dependent renewal risk model with stochastic return

zbMATH Keywords

large deviationsregular variationrenewal risk modelaggregate claimsstochastic present valuegeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Renewal theory (60K05)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A contribution to large deviations for heavy-tailed random sums
• Large deviations for heavy-tailed random sums of independent random variables with dominatedly varying tails
• A contribution to the theory of large deviations for sums of independent random variables
• On Large Deviation Problems for Sums of Random Variables which are not Attracted to the Normal Law
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Probability Inequalities for Sums of Independent Random Variables
• Large deviations of sums of independent random variables
• Large deviations for heavy-tailed random sums in compound renewal model
• Title not available (Why is that?)
• Ruin models with investment income
• Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
• Title not available (Why is that?)
• Integral Limit Theorems Taking Large Deviations into Account when Cramér’s Condition Does Not Hold. I

Cited In (10)

• Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• An Asymptotic Result on Catastrophe Insurance Losses
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Large deviations for risk processes with reinsurance
• Precise large deviations of aggregate claim amount in a dependent renewal risk model
• Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Asymptotic bounds for precise large deviations in a compound risk model under dependence structures

This page was built for publication: Large deviations for the stochastic present value of aggregate claims in the renewal risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893915)