3 papers
q-fin.RM2026
The conditional higher moment risk measure: second-order asymptotics with FGM contagion
Haifan Hu, Bingzhen Geng, Jiajun Liu +1
This paper investigates second-order asymptotic expansions for the conditional higher moment (CoHM) coherent risk measure under a Farlie-Gumbel-Morgenstern (FGM) dependence structu…
math.PR2026
Second-order Asymptotic Analysis of Tail Probabilities of Bidimensional Randomly Weighted Sums
Bingzhen Geng, Yang Liu, Shijie Wang
Motivated by a bidimensional discrete-time risk model in insurance, we study second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggr…
stat.AP2025
Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
Bingzhen Genga, Shijie Wanga, Yang Yang
This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest fo…