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Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
Bingzhen Genga / Shijie Wanga / Yang Yang
insurance / probabilityResource overview

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force

Paper2025

by Bingzhen Genga, Shijie Wanga, Yang Yang

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insuranceprobability

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Suggested foundations for risk measurement and stress and probability and statistical reasoning. Specialist prerequisites vary by paper.

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  1. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. Conditional Expectation

    Interpret expectations after information is observed.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

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  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Confidence Intervals and Hypothesis Testing

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