The paper deals with the renewal risk model. A precise large deviation result in the case of subexponential claim sizes is proved. As a special case, the example of Pareto distributed claim sizes and inter-occurrence times is investigated.

This paper deals with the asymptotic behavior for the tail probability of randomly weighted sums of subexponential random variables under a dependence structure, where the random weights and the corresponding summands are dependent.

In this paper, we consider the randomly weighted sum S2Θ=Θ1X1+Θ2X2, where the two primary random summands X1 and X2 are real-valued and dependent with long or dominatedly varying tails, and the random weights Θ1 and Θ2 are positive, with values in [a,b], 0a≤b∞, and arbitrarily...

We examine the association between audit quality and the use of collateral in a sample of Chinese firms from 2005 to 2011. Using the full sample, we document a negative relationship between audit quality and the use of collateral that is consistent with lenders’ interests. We also show that...

The paper discusses contemporaneous aggregation of the Linear ARCH (LARCH) model as defined in (1), which was introduced in Robinson (1991) and studied in Giraitis, Robinson, and Surgailis (2000) and other works. We show that the limiting aggregate of the (G)eneralized LARCH(1,1) process in...