The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

By Marc J. Goovaerts, Rob Kaas, Roger J. A. Laeven, Qihe Tang, Raluca Vernic. 2005

110 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/db46d1177ec28df6cb0c3ab7d3af73ee89f1434f

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In Demography

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Citations in the corpus

The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks (2011, background): “Keywords: Asymptotics; Farlie–Gumbel–Morgenstern distribution; maximum domain of attraction; finite-time ruin probability; subexponential distribution 2010 Mathematics Subject Classification: Primary 62P05 Secondary 62E10; 91B30”
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model (2010, background): “Note that the result of Resnick and Willekens (1991) has recently been extended in many ways by Goovaerts et al. (2005), Wang and Tang (2006), Zhang et al. (2009), and Chen and Yuen (2009).”
Approximation of the tail probability of randomly weighted sums and applications (2009, result): “[14] generalized their results by allowing {X i , i ≥ 1} to be real-valued, and establishing the more general results that are similar to (1.”
Tail asymptotics for the sum of two heavy-tailed dependent risks (2006, background): “[15], see also Tang & Wang [30] for a generalization to the class D ∩ L.”
Asymptotics for Weighted Random Sums (2011, background): “was established in [18] for nonnegative and regularly varying {Xi} (denoted {Xi} in R−α, α > 0), and (1) was proven in [11] for real-valued {Xi} with regularly varying right tail and deterministic N , either N = n (finite) or N = ∞.”
Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation (2006, background): “A more recent discussion in the context of actuarial science is Goovaerts et al.[13] In the present paper, we reconsider the question without restriction (1.”
Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009, background): “In addition, in the context of ruin theory, Theorem 3.3 can be used to extend the results of Goovaerts et al.[12], Chen and Ng[4], and Tang and Vernic[31] to the case in which the claims are pairwise quasi-asymptotically independent.”