Biard, Romain; Lefèvre, Claude; Loisel, Stéphane - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 412-421
In the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax the independence and stationarity assumptions and extend some asymptotic...