𝔖 Bobbio Scriptorium
✦   LIBER   ✦

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

✍ Scribed by Xiaodong Bai; Lixin Song


Book ID
116890298
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
234 KB
Volume
81
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Asymptotics for the ruin probabilities o
✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 147 KB πŸ‘ 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

The Gerber–Shiu discounted penalty funct
✍ Zhimin Zhang; Shuanming Li; Hu Yang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 984 KB

In this paper, we consider the ruin problems for a risk model involving two independent classes of insurance risks. We assume that the claim number processes are independent Poisson and generalized Erlang(n) processes, respectively. When the generalized Lundberg equation has distinct roots with posi