Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails

DOI10.1080/15326349.2014.900389zbMath1404.62105OpenAlexW2075458657MaRDI QIDQ4981822

Cheuk Yin Andrew Ng, Ke Ang Fu

Publication date: 25 June 2014

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2014.900389

zbMATH Keywords

uniformitydominatedly varying tailsinvestment returngeometric Lévy processpairwise asymptotic independenceconsistently varying tails

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)

Related Items

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model

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