Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model

Yang Yang (), Shuang Liu () and Kam Chuen Yuen ()
Additional contact information
Yang Yang: Nanjing Audit University
Shuang Liu: Nanjing Audit University
Kam Chuen Yuen: The University of Hong Kong

Journal of Theoretical Probability, 2022, vol. 35, issue 4, 2600-2621

Abstract: Abstract Consider a discrete-time risk model, in which an insurer makes both risk-free and risky investments. Within period k, the net loss is denoted by a real-valued random variable $$X_k$$ X k , and the stochastic discount factor is a bounded positive random variable $$Y_k$$ Y k . Assume that $$(X_k,Y_k), k\in {\mathbb {N}}$$ ( X k , Y k ) , k ∈ N , form a sequence of independent and identically distributed random pairs following a common bivariate Farlie–Gumbel–Morgenstern distribution with marginal distributions F on $${\mathbb {R}}$$ R and G on [a, b], respectively, for some $$0

Keywords: Second-order expansion; Discrete-time risk model; Tail probability of aggregate net loss; Second-order subexponential distribution; Farlie–Gumbel–Morgenstern distribution; Primary 62P05; Secondary: 62E10; 91B30 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10959-021-01143-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:jotpro:v:35:y:2022:i:4:d:10.1007_s10959-021-01143-z

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-021-01143-z

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().