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Asymptotic Tail Moments of the Time Dependent Aggregate Risk Model

Author

Listed:
  • Dechen Gao

    (Canada Guaranty Mortgage Insurance Company, Toronto, ON M5C 2V6, Canada
    These authors contributed equally to this work.)

  • Jiandong Ren

    (Department of Statistical and Actuarial Sciences, University of Western Ontario, 1151 Richmond St, London, ON N6A 3K7, Canada
    These authors contributed equally to this work.)

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.

Suggested Citation

  • Dechen Gao & Jiandong Ren, 2025. "Asymptotic Tail Moments of the Time Dependent Aggregate Risk Model," Mathematics, MDPI, vol. 13(7), pages 1-19, March.
    • Handle: RePEc:gam:jmathe:v:13:y:2025:i:7:p:1153-:d:1625003
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    References listed on IDEAS

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    1. Shijie Wang & Yiyu Hu & LianQiang Yang & Wensheng Wang, 2018. "Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(20), pages 5054-5063, October.
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    7. Bargès, Mathieu & Cossette, Hélène & Loisel, Stéphane & Marceau, Étienne, 2011. "On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 215-238, May.
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