scholarly journals BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)

2002 ◽  
Vol 45 (4) ◽  
pp. 362-372 ◽  
Author(s):  
Hiroshi Ishijima
Keyword(s):  
Continuous Time ◽  
Special Issue ◽  
Universal Portfolios

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

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