Second-order tail asymptotics of deflated risks

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<title>Second-order tail asymptotics of deflated risks</title>
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<abstract displayLabel="Summary">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.

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<note type="statement of responsibility">Enkelejd Hashorva, Chengxiu Ling, Zuoxiang Peng</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>05/05/2014 Volumen 56 Número 1 - mayo 2014 </text>
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