R.T. ALIYEV
ASYMPTOTIC EXPANSIONS FOR THE FIRST FOUR MOMENTS OF THE SPARRE ANDERSEN INSURANCE RISK PROCESS


The Sparre Andersen insurance risk process is considered. The asymptotic expansions for the first four moments of this process at large t and asymptotic equivalence for the variance, skewness and kurtosis of the process are derived.

Keywords: insurance risk process, asymptotic expansion, moments, skewness, kurtosis
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