Open AccessSecond Order Asymptotics Formula for Discounted Total Claims with Constant Interest Force
Author(s) -
Yi Dong
Publication year - 2021
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1813/1/012059
Subject(s) - mathematics , order (exchange) , asymptotic formula , expression (computer science) , constant (computer programming) , distribution (mathematics) , order statistic , mathematical economics , combinatorics , mathematical analysis , economics , finance , computer science , programming language
In this article, we analyse discounted total claims of insurance company, where the claim-size distribution is second order subexponential and the claim-number forms a renewal process. Using the asymptotic theory of the right-tail probability of randomly weighted sums, we study the right tail probability of discounted aggregate claims, and obtain a second order asymptotic expression, which was established uniformly for any finite-time level. The result is superior to the first order asymptotic formula.