The paper provides asymptotic estimates for the entrance probability of the discounted aggregate claim vector into rare sets in a multivariate renewal risk model with subexponential claims and general investment returns.
(2024) Random vectors in the presence of a single big jump
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Uniform asymptotics are obtained for entrance probabilities of discounted claims into rare sets in a multidimensional renewal risk model with random delayed claims under multivariate subexponentiality.
Introduces and studies multivariate positively decreasing heavy-tailed distributions and their closure properties.
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Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
The paper provides asymptotic estimates for the entrance probability of the discounted aggregate claim vector into rare sets in a multivariate renewal risk model with subexponential claims and general investment returns.
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Uniform asymptotics for a multidimensional renewal risk model with random number of delayed claims and multivariate subexponentiality
Uniform asymptotics are obtained for entrance probabilities of discounted claims into rare sets in a multidimensional renewal risk model with random delayed claims under multivariate subexponentiality.
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Heavy-tailed random vectros: theory and applications
Introduces and studies multivariate positively decreasing heavy-tailed distributions and their closure properties.