Goovaerts, Marc J. and Kaas, Rob and Laeven, Roger J.A. and Tang, Qihe and Vernic, Raluca
The Tail Probability of Discounted Sums of Pareto-Like Losses in Insurance.
Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
- Published Version
In an insurance context, the discounted sum of losses within afinite or ifinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the weights represent the stochastic discount factors. In this paper, we investigate the problem of approximating the
tail probability of this weighted sum in the case when the losses have Pareto-like distributions and the discount factors are mutually dependent. We also give some simulation results.
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