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Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

โœ Scribed by S. Juneja


Publisher
Springer US
Year
2007
Tongue
English
Weight
381 KB
Volume
57
Category
Article
ISSN
0257-0130

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โœ Yiqing Chen; Kam C. Yuen; Kai W. Ng ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 147 KB ๐Ÿ‘ 2 views

In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty