Asymptotics for the Tail Behavior of Total Claims for a Risk Model with Stochastic Returns
Available Online December 2017.
- https://doi.org/10.2991/seiem-17.2018.27How to use a DOI?
- Asymptotic behavior, nonstandard risk model, discounted total claims, stochastic return
- This paper studies a two-dimensional risk model with stochastic returns, where the two kinds of claim sizes constitute a sequence of independent and identically distributed random vectors following a two-dimensional FGM distribution. When the two marginal distributions of the claim-size have dominated-varying tails, it gives an asymptotic formula for the tail probability of discounted total claims. The conclusion shows the dependence between two kinds of claims has an effect on the asymptotic behavior of the tail of discounted total claims.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yinghua Dong PY - 2017/12 DA - 2017/12 TI - Asymptotics for the Tail Behavior of Total Claims for a Risk Model with Stochastic Returns BT - 2017 2nd International Seminar on Education Innovation and Economic Management (SEIEM 2017) PB - Atlantis Press SP - 112 EP - 115 SN - 2352-5398 UR - https://doi.org/10.2991/seiem-17.2018.27 DO - https://doi.org/10.2991/seiem-17.2018.27 ID - Dong2017/12 ER -