A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

@inproceedings{Hao2008AUA,
  title={A uniform asymptotic estimate for discounted aggregate claims with subexponential tails},
  author={Xuemiao Hao and Qihe Tang},
  year={2008}
}
In this paper we study the tail probability of discounted aggregate claims in a continuous-time renewal model. For the case that the common claim-size distribution is subexponential, we obtain an asymptotic formula, which holds uniformly for all time horizons within a finite interval. Then, with some additional mild assumptions on the distributions of the claim sizes and inter-arrival times, we further prove that this formula holds uniformly for all time horizons. In this way, we significantly… CONTINUE READING
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