Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

By Qihe Tang. Journal of Applied Probability, 2007

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Extremes on the discounted aggregate claims in a time dependent risk model (2010, background): “This work is extended within the class of renewal risk models in Tang (2005a, 2007) and Wang (2008).”
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails (2008, methodology): “We shall assume that the claim-size distribution F on [0,∞) is subexponential, denoted by F ∈ S.”
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010, result): “More importantly, in comparison with the corresponding existing results of Tang (2007) and Hao and Tang (2008) in the case of independent X and θ , our formulae successfully capture the impact of the dependence structure of (X, θ).”
Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2013, methodology): “The first lemma is a WLOD version of Lemma 3.2 of Tang (2007) , which deals with the i.i.d.”
The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims (2007, methodology): “Recently, under the condition F ∈ ERV(−α, −β )f or 0 2 ] investigated the uniformity of the relation”