Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
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Publication:3074498
DOI10.1239/aap/1293113154zbMath1205.62061OpenAlexW2056287528MaRDI QIDQ3074498
Jinzhu Li, Rong Wu, Qi-he Tang
Publication date: 9 February 2011
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1293113154
asymptoticsuniformityextended regular variationdependencesubexponentialitydiscounted aggregate claims
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
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