Second-order tail asymptotics of deflated risks

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<dc:creator>Hashorva, Enkelejd</dc:creator>
<dc:date>2014-05-05</dc:date>
<dc:description xml:lang="es">Sumario: Random deflation of risk models is an interesting topic for both theoretical and practical actuarial problems. In this paper, we investigate second-order tail asymptotics of the deflated risk "X=RS" under the assumptions of second-order regular variation on the survival functions of the risk "R" and the deflator "S". Our findings are applied to derive second-order expansions of Value-at-Risk. Further we investigate the estimation of small tail probability for deflated risks and then discuss the asymptotics of the aggregated deflated risk.

</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/147919.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Second-order tail asymptotics of deflated risks</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 </dc:relation>
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