Asymptotic Tail Moments of the Time Dependent Aggregate Risk Model

Dechen Gao and Jiandong Ren ()
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Dechen Gao: Canada Guaranty Mortgage Insurance Company, Toronto, ON M5C 2V6, Canada
Jiandong Ren: Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond St, London, ON N6A 3K7, Canada

Mathematics, 2025, vol. 13, issue 7, 1-19

Abstract: In this paper, we study an extension of the classical compound Poisson risk model with a dependence structure among the inter-claim time and the subsequent claim size. Under a flexible dependence structure and assuming that the claim amounts are heavy tail distributed, we derive asymptotic tail moments for the aggregate claims. Numerical examples and simulation studies are provided to validate the results.

Keywords: compound poisson risk model; dependence; sub-exponential distribution; Tail Conditional Expectation (TEC); Tail Variance (TV) (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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