| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7549359 | Statistics & Probability Letters | 2015 | 9 Pages |
Abstract
In insurance, if the insurer continuously invests her wealth in risk-free and risky assets, then the price process of the investment portfolio can be described as a geometric Lévy process. People always are interested in estimating the tail distribution of the stochastic present value of aggregate claims. In this paper, the large deviations for the stochastic present value of aggregate claims, when the claim size distribution is of Pareto type with finite variance, are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Tao Jiang, Sheng Cui, Ruixing Ming,