Proceedings of the 2017 2nd International Seminar on Education Innovation and Economic Management (SEIEM 2017)

Asymptotics for the Tail Behavior of Total Claims for a Risk Model with Stochastic Returns

Authors
Yinghua Dong
Corresponding Author
Yinghua Dong
Available Online December 2017.
DOI
10.2991/seiem-17.2018.27How to use a DOI?
Keywords
Asymptotic behavior, nonstandard risk model, discounted total claims, stochastic return
Abstract

This paper studies a two-dimensional risk model with stochastic returns, where the two kinds of claim sizes constitute a sequence of independent and identically distributed random vectors following a two-dimensional FGM distribution. When the two marginal distributions of the claim-size have dominated-varying tails, it gives an asymptotic formula for the tail probability of discounted total claims. The conclusion shows the dependence between two kinds of claims has an effect on the asymptotic behavior of the tail of discounted total claims.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 2nd International Seminar on Education Innovation and Economic Management (SEIEM 2017)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
December 2017
ISBN
978-94-6252-442-2
ISSN
2352-5398
DOI
10.2991/seiem-17.2018.27How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Yinghua Dong
PY  - 2017/12
DA  - 2017/12
TI  - Asymptotics for the Tail Behavior of Total Claims for a Risk Model with Stochastic Returns
BT  - Proceedings of the 2017 2nd International Seminar on Education Innovation and Economic Management (SEIEM 2017)
PB  - Atlantis Press
SP  - 112
EP  - 115
SN  - 2352-5398
UR  - https://doi.org/10.2991/seiem-17.2018.27
DO  - 10.2991/seiem-17.2018.27
ID  - Dong2017/12
ER  -