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Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

2010
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Advances in Applied Probability
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Consider a continuous-time renewal risk model with a constant force of interest. We assume that claim sizes and interarrival times correspondingly form a sequence of independent and identically distributed random pairs and that each pair obeys a dependence structure described via the conditional tail probability of a claim size given the interarrival time before the claim. We focus on determining the impact of this dependence structure on the asymptotic tail probability of discounted aggregate

doi:10.1239/aap/1293113154
fatcat:434mzeag6vdm7m7ov3qtoaeygy