Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models

DOI10.1239/jap/1409932666zbMath1303.91097OpenAlexW1977200357MaRDI QIDQ2923428

Dimitrios G. Konstantinides, Yang Yang, Kai Yong Wang

Publication date: 15 October 2014

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1409932666

zbMATH Keywords

uniformityLévy processdependencedominatedly varying tailconsistently varying taillong taildiscounted aggregate claim

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05)

Related Items (20)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims ⋮ Uniform asymptotics for discounted aggregate claims in dependent multi-risk model ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Unnamed Item ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Asymptotics for a bidimensional risk model with two geometric Lévy price processes ⋮ Precise large deviations for the aggregate claims in a dependent compound renewal risk model ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes

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