The paper provides asymptotic estimates for the entrance probability of the discounted aggregate claim vector into rare sets in a multivariate renewal risk model with subexponential claims and general investment returns.
(1964) A theorem on sums of independent positive random variables and its applications to branching random processes
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Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
The paper provides asymptotic estimates for the entrance probability of the discounted aggregate claim vector into rare sets in a multivariate renewal risk model with subexponential claims and general investment returns.