Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866912177828397056 |
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| author | Genga, Bingzhen Wanga, Shijie Yang, Yang |
| author_facet | Genga, Bingzhen Wanga, Shijie Yang, Yang |
| contents | This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk models without and with by-claims are separately discussed. By constructing the asymptotic theory and weighted Kesten-type inequality of randomly weighted sums for second order subexponential random variables, second order asymptotic formulae for these two risk models are firstly built. In comparison of the first order asymptotic formulae, our results are more superior and precise, which are demonstrated by some simple numerical studies. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_02545 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force Genga, Bingzhen Wanga, Shijie Yang, Yang Applications Probability Risk Management This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk models without and with by-claims are separately discussed. By constructing the asymptotic theory and weighted Kesten-type inequality of randomly weighted sums for second order subexponential random variables, second order asymptotic formulae for these two risk models are firstly built. In comparison of the first order asymptotic formulae, our results are more superior and precise, which are demonstrated by some simple numerical studies. |
| title | Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force |
| topic | Applications Probability Risk Management |
| url | https://arxiv.org/abs/2501.02545 |