Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
نویسندگان
چکیده
منابع مشابه
Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
In this paper, we consider some non-standard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim-size distribution belongs to some classes of heavy-tailed distributions and a constrai...
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Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2014
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1409932666