Asymptotic Tail Moments of the Time Dependent Aggregate Risk Model
In this paper, we study an extension of the classical compound Poisson risk model with a dependence structure among the inter-claim time and the subsequent claim size. Under a flexible dependence structure and assuming that the claim amounts are heavy tail distributed, we derive asymptotic tail mome...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2025-03-01
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| Col·lecció: | Mathematics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-7390/13/7/1153 |
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