Large deviations for the stochastic present value of aggregate claims in the renewal risk model

Tao Jiang, Sheng Cui and Ruixing Ming

Statistics & Probability Letters, 2015, vol. 101, issue C, 83-91

Abstract: In insurance, if the insurer continuously invests her wealth in risk-free and risky assets, then the price process of the investment portfolio can be described as a geometric Lévy process. People always are interested in estimating the tail distribution of the stochastic present value of aggregate claims. In this paper, the large deviations for the stochastic present value of aggregate claims, when the claim size distribution is of Pareto type with finite variance, are obtained.

Keywords: Large deviations; Regular variation; Lévy process (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016771521500070X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:101:y:2015:i:c:p:83-91

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2015.02.020

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().