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@inproceedings{Hao2008AUA, title={A uniform asymptotic estimate for discounted aggregate claims with subexponential tails}, author={Xuemiao Hao and Qihe Tang}, year={2008} }

- Published 2008
DOI:10.1016/j.insmatheco.2008.03.009

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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