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

Xiaodong Bai and Lixin Song

Statistics & Probability Letters, 2011, vol. 81, issue 12, 1891-1898

Abstract: Consider a risk model with two correlated classes of insurance business and a constant force of interest. We assume that the correlation comes from a common shock and that the claim-size distribution is heavy-tailed. Under this setting, we investigate the tail behavior of the sum of the two correlated classes of discounted aggregate claims. We obtain the uniform asymptotic formulas for some subclass of subexponential distributions.

Keywords: Asymptotics; Discounted aggregate claims; Heavy-tailed distribution; Uniformity; Correlation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1016/j.spl.2011.07.021

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