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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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  • Hao, Xuemiao
  • Tang, Qihe

Abstract

In this paper we study the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, we obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with some additional mild assumptions on the distributions of the claim sizes and inter-arrival times, we further prove that this formula holds uniformly for all time horizons. In this way, we significantly extend a recent result of Tang [Tang, Q., 2007. Heavy tails of discounted aggregate claims in the continuous-time renewal model. J. Appl. Probab. 44 (2), 285-294].

Suggested Citation

  • Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
    • Handle: RePEc:eee:insuma:v:43:y:2008:i:1:p:116-120
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    References listed on IDEAS

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    1. Nilsen, Trygve & Paulsen, Jostein, 1996. "On the distribution of a randomly discounted compound Poisson process," Stochastic Processes and their Applications, Elsevier, vol. 61(2), pages 305-310, February.
    2. Konstantinides, Dimitrios & Tang, Qihe & Tsitsiashvili, Gurami, 2002. "Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 447-460, December.
    3. Gjessing, Håkon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    4. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
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    Cited by:

    1. Bai, Xiaodong & Song, Lixin, 2011. "The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1891-1898.
    2. Gao, Qingwu & Liu, Xijun, 2013. "Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1527-1538.
    3. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2017. "Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 227-235.
    4. Kaiyong Wang & Yuebao Wang & Qingwu Gao, 2013. "Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 109-124, March.
    5. Yang, Haizhong & Li, Jinzhu, 2019. "On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 153-159.
    6. Jiang, Tao & Wang, Yuebao & Chen, Yang & Xu, Hui, 2015. "Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 45-53.
    7. Gao Qingwu & Gu Peng & Jin Na, 2012. "Asymptotic Behavior of the Finite-Time Ruin Probability with Constant Interest Force and WUOD Heavy-Tailed Claims," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(1), pages 1-16, February.
    8. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
    9. Hongmin Xiao & Lin Xie, 2018. "Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate," Risks, MDPI, vol. 6(4), pages 1-12, November.
    10. Yang, Haizhong & Li, Jinzhu, 2014. "Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 185-192.
    11. Dawei Lu & Meng Yuan, 2022. "Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2265-2286, December.
    12. Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
    13. Wei, Li, 2009. "Ruin probability in the presence of interest earnings and tax payments," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 133-138, August.
    14. Liu, Xijun & Gao, Qingwu & Wang, Yuebao, 2012. "A note on a dependent risk model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 707-712.
    15. Li, Jinzhu, 2017. "A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 49-55.
    16. Peng, Jiangyan & Huang, Jin, 2010. "Ruin probability in a one-sided linear model with constant interest rate," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 662-669, April.

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