The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails

Consider a risk model with two correlated classes of insurance business and a constant force of interest. We assume that the correlation comes from a common shock and that the claim-size distribution is heavy-tailed. Under this setting, we investigate the tail behavior of the sum of the two correlated classes of discounted aggregate claims. We obtain the uniform asymptotic formulas for some subclass of subexponential distributions.

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Year of publication:	2011
Authors:	Bai, Xiaodong ; Song, Lixin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 12, p. 1891-1898
Publisher:	Elsevier
Subject:	Asymptotics \| Discounted aggregate claims \| Heavy-tailed distribution \| Uniformity \| Correlation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571804