Uniform asymptotics for discounted aggregate claims in dependent risk models (Q2923428)
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scientific article; zbMATH DE number 6356252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniform asymptotics for discounted aggregate claims in dependent risk models |
scientific article; zbMATH DE number 6356252 |
Statements
15 October 2014
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discounted aggregate claim
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dependence
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Lévy process
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consistently varying tail
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dominatedly varying tail
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long tail
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uniformity
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Uniform asymptotics for discounted aggregate claims in dependent risk models (English)
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The renewal risk model under consideration involves a sequence of identically distributed claim sizes, which are not necessarily independent; the interarrival times are i.i.d. nonnegative random variables. The claim arrival times constitute a renewal counting process.NEWLINENEWLINEWithin this context, supposing that the insurer can make risk free and risky investments, the price process of the investment portfolio is depicted as a geometric Lévy process.NEWLINENEWLINEUnder the hypothesis that the claim size distribution belongs to some specific classes of heavy tailed distributions, asymptotic formulae are obtained for the tail probability of discounted aggregate claims and ruin probabilities.
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