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On some actuarial models involving sums of dependent risk. (English) Zbl 1084.62550
Summary: This paper presents some applications to the theoretical results obtained by M. Goovaerts, R. Kaas, Q. Tang and R. Vernic in [The tail probability of discounted sums of Pareto-like losses in insurance, IME (Insurance Math. Econom.) Congress, Rome 2004], on the problem of approximating the tail probability of a randomly weighted sum of random variables. The results are supported by some simulation conclusions.
MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
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