Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In this model, the claim sizes are observed to follow a one-sided linear process with independent and identically distributed innovations. Investment return is described as a general...
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| Veröffentlicht in: | Science China. Mathematics 2019-04, Vol.62 (4), p.735-750 |
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| container_title | Science China. Mathematics |
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| creator | Guo, Fenglong Wang, Dingcheng |
| description | In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In this model, the claim sizes are observed to follow a one-sided linear process with independent and identically distributed innovations. Investment return is described as a general stochastic process with cádlág paths. In the case of heavy-tailed innovation distributions, we are able to derive some asymptotic estimates for tail probability and to provide some asymptotic upper bounds to improve the applicability of our study. |
| doi_str_mv | 10.1007/s11425-017-9167-0 |
| format | Article |
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In the case of heavy-tailed innovation distributions, we are able to derive some asymptotic estimates for tail probability and to provide some asymptotic upper bounds to improve the applicability of our study.</abstract><cop>Beijing</cop><pub>Science China Press</pub><doi>10.1007/s11425-017-9167-0</doi><tpages>16</tpages></addata></record> |
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| subjects | Applications of Mathematics Asymptotic properties Dependence Innovations Investment Mathematics Mathematics and Statistics Stochastic processes Upper bounds |
| title | Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return |
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