The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
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Publication:645446
DOI10.1016/J.SPL.2011.07.021zbMath1232.91339OpenAlexW2061626511MaRDI QIDQ645446
Publication date: 15 November 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.07.021
Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)
Related Items (4)
Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model ⋮ Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest ⋮ Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
Cites Work
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- On the first time of ruin in the bivariate compound Poisson model
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- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Weighted sums of subexponential random variables and their maxima
- A Note on Cumulative Sums
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