Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

DOI10.1007/S10959-021-01143-ZOpenAlexW4206675951MaRDI QIDQ2100010

Shuang Liu, Yang Yang, Kam-Chuen Yuen

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-021-01143-z

zbMATH Keywords

second-order expansionFarlie-Gumbel-Morgenstern distributiondiscrete-time risk modelsecond-order subexponential distributiontail probability of aggregate net loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Uses Software

• QRM

Cites Work

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