ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK

DOI10.1017/S026996481400014XzbMath1369.91088arXiv1404.5771MaRDI QIDQ5349308

Jinzhu Li, Enkelejd Hashorva

Publication date: 24 August 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.5771

Mathematics Subject Classification ID

Related Items (8)

Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ 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 ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Tail asymptotics of light-tailed Weibull-like sums

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