The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails |
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Authors: | Xiaodong Bai Lixin Song |
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Institution: | aSchool of Mathematical Sciences, Dalian University of Technology, Dalian, 116023, PR China;bDepartment of Mathematics, BaoTou Normal College, BaoTou 014030, PR China |
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Abstract: | Consider a risk model with two correlated classes of insurance business and a constant force of interest. We assume that the correlation comes from a common shock and that the claim-size distribution is heavy-tailed. Under this setting, we investigate the tail behavior of the sum of the two correlated classes of discounted aggregate claims. We obtain the uniform asymptotic formulas for some subclass of subexponential distributions. |
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Keywords: | Asymptotics Discounted aggregate claims Heavy-tailed distribution Uniformity Correlation |
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