Tail Asymptotics of Random Sum and Maximum of Log-Normal Risks

Abstract

In this paper we derive the asymptotic behaviour of the survival function of both random sum and random maximum of log-normal risks. As for the case of finite sum and maximum investigated in Asmussen and Rojas-Nandaypa (2008) also for the more general setup of random sums and random maximum the principle of a single big jump holds. We investigate both the log-normal sequences and some related dependence structures motivated by stationary Gaussian sequences.

References in corpus (2)

• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Second order asymptotics of aggregated log-elliptical risk

Cited by in corpus (1)

• Random Shifting and Scaling of Insurance Risks