Asymptotics of random contractions

作者：Hashorva Enkelejd^*; Pakes Anthony G; Tang Qihe

来源：Insurance: Mathematics and Economics , 2010, 47(3): 405-414.

DOI：10.1016/j.insmatheco.2010.08.006

• Random contractions
• Random scaling
• Conditional tail expectation
• Elliptical distributions
• Spherical distributions
• Subexponential distributions
• Max domain of attraction
• Risk aggregation
• Ruin probability

In this paper we discuss the asymptotic behaviour of random contractions X = RS where R with distribution function F is a positive random variable independent of S is an element of (0 1) Random contractions appear naturally in insurance and finance Our principal contribution is the derivation of the tail asymptotics of X assuming that F is in the max-domain of attraction of an extreme value distribution and the distribution function of S satisfies a regular variation property We apply our result to derive the asymptotics of the probability of ruin for a particular discrete-time risk model Further we quantify in our asymptotic setting the effect of the r

• 出版日期2010-12