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European Actuarial Journal

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09-03-2019 | Original Research Paper

Bivariate regular variation among randomly weighted sums in general insurance

Authors: Yiqing Chen, Yang Yang

Published in: European Actuarial Journal | Issue 1/2019

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Abstract

The tail behavior of randomly weighted sums has become an increasingly interesting topic in applied probability and this study has played an important role in a few problems in insurance, finance, and risk management. In this paper, we extend the study to the case of non-standard bivariate regular variation and, as applications, we interpret the study in terms of bivariate processes of aggregate claims (without interest rate, with a constant force of interest, or with stochastic investment returns).

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Title: Bivariate regular variation among randomly weighted sums in general insurance
Authors: Yiqing Chen
Yang Yang
Publication date: 09-03-2019
Publisher: Springer Berlin Heidelberg
Published in: European Actuarial Journal / Issue 1/2019
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-019-00197-y

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