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arXiv · 2501.02545

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force

Bingzhen Genga·Shijie Wanga·Yang Yang
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Abstract

This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk models without and with by-claims are separately discussed. By constructing the asymptotic theory and weighted Kesten-type inequality of randomly weighted sums for second order subexponential random variables, second order asymptotic formulae for these two risk models are firstly built. In comparison of the first order asymptotic formulae, our results are more superior and precise, which are demonstrated by some simple numerical studies.

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Bingzhen Genga, Shijie Wanga, Yang Yang. 2025-01-05. Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force. https://arxiv.org/abs/2501.02545

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