Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
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Publication:370897
DOI10.1007/S11009-011-9274-3zbMath1281.60048OpenAlexW2091159941MaRDI QIDQ370897
Yi Zhang, Ken Seng Tan, Chengguo Weng
Publication date: 20 September 2013
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-011-9274-3
asymptoticstail probabilityregular variationruin probabilityPoisson shot noisestop-loss insuranceupper tail dependence
Related Items (4)
Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Unnamed Item ⋮ Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time ⋮ Regular variation of a random length sequence of random variables and application to risk assessment
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