The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance-Reference-Cited by-同舟云学术

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The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Published:2005-11 Issue:6 Volume:2005 Page:446-461
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Goovaerts Marc J.,Kaas Rob,Laeven Roger J.A.,Tang Qihe,Vernic Raluca

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/03461230500361943

Reference17 articles.

1. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

2. Regular Variation

3. A semi-parametric approach to risk management

4. On Some Limit Theorems Similar to the Arc-Sin Law

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2. Uniform Approximation for the Tail Behavior of Bidimensional Randomly Weighted Sums;Methodology and Computing in Applied Probability;2023-02-13

3. On the tail behaviour of aggregated random variables;Journal of Multivariate Analysis;2022-11

4. Generalized PELVE and applications to risk measures;European Actuarial Journal;2022-06-29

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