Centro de Documentación de Fundación MAPFRE - Second-order tail asymptotics of deflated risks

Notes: 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.

Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 Other categories: 6

Rights: In Copyright (InC)

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