Asymptotics for a discrete-time risk model with Gamma-like insurance risks

DOI10.1080/03461238.2015.1004802zbMath1401.91206OpenAlexW2017128943MaRDI QIDQ4575366

Yang Yang, Kam-Chuen Yuen

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/214580

zbMATH Keywords

asymptoticsfinite-time and infinite-time ruin probabilitiesSarmanov distributioninsurance and financial risksgamma-like tailstochastic discounted value of aggregate net losses

Mathematics Subject Classification ID

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

Related Items (9)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Interplay of subexponential and dependent insurance and financial risks ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

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