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Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model

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  • Ke-Ang Fu
  • Jie Li

Abstract

Consider a continuous-time risk model with two correlated classes of insurance business and a constant force of interest. Suppose that the correlation comes from a common shock, and that the claim sizes and inter-arrival times correspondingly form a sequence of random pairs, with each pair obeying a dependence structure. By assuming that the claim sizes are heavy tailed, a uniform tail asymptotic formula for the sum of the two correlated classes of discounted aggregate claims is obtained.

Suggested Citation

  • Ke-Ang Fu & Jie Li, 2017. "Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(5), pages 2559-2570, March.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:5:p:2559-2570
    DOI: 10.1080/03610926.2014.1000499
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