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.
Heavy-tailed random vectros: theory and applications
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
abstract
In this paper we introduce and study several multivariate, heavy-tailed distribution classes, and we explore their closure properties and their applications. We consider the class of multivariate, positively decreasing distributions, and its intersection with other multivariate distribution classes.
fields
math.PR 2verdicts
UNVERDICTED 2representative citing papers
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.
citing papers explorer
-
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.
-
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.