Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model. Issue 5 (4th March 2017)

• Record Type: Journal Article
• Authors: Fu, Ke-Ang; Li, Jie
• Is Part Of: Communications in statistics. Volume 46:Issue 5(2017)
• Page Start: 2559
• Page End: 2570
• Publication Date: 2017-03-04
• Subjects: Discounted aggregate claims -- Dominatedly varying tail -- Long tail -- Time-dependent risk model -- Uniformity.; 62P05 -- 62E20; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2014.1000499
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: Consider a continuous-time risk model with two correlated classes of insurance business and a constant force of interest. Suppose that the correlation comes from a common shock, and that the claim sizes and inter-arrival times correspondingly form a sequence of random pairs, with each pair obeying a dependence structure. By assuming that the claim sizes are heavy tailed, a uniform tail asymptotic formula for the sum of the two correlated classes of discounted aggregate claims is obtained.