Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation

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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “Frolova et al. (2002) also pointed out that disasters may arrive during the period when the market value of assets is low and the company will not be able to cover losses by selling these assets. In this section, we consider a so-called constant investment portfolio and determine the optimal investm”