Second Order Asymptotics for Infinite-Time Ruin Probability in a Compound Renewal Risk Model
Sign Up to like & getrecommendations! Published in 2021 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-021-09862-w
Abstract: Consider a compound renewal risk model, in which a single accident may cause more than one claim. Under the condition that the common distribution of the individual claims is second order subexponential, we establish a… read more here.
Keywords: renewal risk; order; compound renewal; probability ... See more keywords
Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1586931
Abstract: Abstract Recently, Jiang et al. (Statist. Probab. Lett. 101, 83–91) obtained the asymptotic formulas for the large deviations for the stochastic present value of aggregate claims in the renewal risk model with Pareto-type claims and… read more here.
Keywords: risk model; renewal risk; deviations stochastic; large deviations ... See more keywords