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Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
Published online by Cambridge University Press: 14 July 2016
Abstract
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We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.
MSC classification
Primary:
91B30: Risk theory, insurance
- Type
- Research Article
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- Copyright
- Copyright © Applied Probability Trust 2007
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