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

Author

Listed:
  • Yang Yang

    (Nanjing Audit University)

  • Shuang Liu

    (Nanjing Audit University)

  • Kam Chuen Yuen

    (The University of Hong Kong)

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

Suggested Citation

  • Yang Yang & Shuang Liu & Kam Chuen Yuen, 2022. "Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2600-2621, December.
    • Handle: RePEc:spr:jotpro:v:35:y:2022:i:4:d:10.1007_s10959-021-01143-z
    DOI: 10.1007/s10959-021-01143-z
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    References listed on IDEAS

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