Uniform asymptotics of the finite-time ruin probability for all times (Q408271): Difference between revisions

The study focuses on the uniform asymptotic behavior of the finite-time ruin probability, within a risk framework which provides advancements about the hypotheses involving claim sizes. In particular, the authors consider independent strong subexponential claim sizes and widely lower orthant dependent inter-occurrence times. Within this renewal model the asymptotics of the finite-time ruin probability are investigated.

0 references

reviewed by

Emilia Di Lorenzo

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

uniform asymptotics

0 references

finite-time ruin probability

0 references

strong subexponential claim sizes

0 references

widely orthant dependent inter-occurrence times

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.jmaa.2012.01.025

0 references

OpenAlex ID

W2059703394

0 references

cites work

Some concepts of negative dependence

0 references

Q5601945

0 references

Subexponentiality of the product of independent random variables

0 references

Tail asymptotics for the supremum of a random walk when the mean is not finite

0 references

Q4743586

0 references

Q4343010

0 references

Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities

0 references

Subexponential distributions and integrated tails

0 references

A property of the renewal counting process with application to the finite-time ruin probability

0 references

Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution

0 references

Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

0 references

Asymptotic behaviour of the finite-time ruin probability in renewal risk models

0 references

Precise large deviations for dependent random variables with heavy tails

0 references

A note on the almost sure convergence of sums of negatively dependent random variables

0 references

Submultiplicative moments of the supremum of a random walk with negative drift

0 references

Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation

0 references

UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS

0 references

Basic renewal theorems for random walks with widely dependent increments

0 references

Random walks with non-convolution equivalent increments and their applications

0 references

Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications

0 references

Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:408271

@@ Property / author @@
-Yue-bao Wang
@@ Property / author: Yue-bao Wang / rank @@
-Normal rank
@@ Property / author @@
-Kai Yong Wang
@@ Property / author: Kai Yong Wang / rank @@
-Normal rank
@@ Property / author @@
+Yue-bao Wang
@@ Property / author: Yue-bao Wang / rank @@
+Normal rank
@@ Property / author @@
+Kai Yong Wang
@@ Property / author: Kai Yong Wang / rank @@
+Normal rank
@@ Property / review text @@
+The study focuses on the uniform asymptotic behavior of the finite-time ruin probability, within a risk framework which provides advancements about the hypotheses involving claim sizes.  In particular, the authors consider independent strong subexponential claim sizes and widely lower orthant dependent inter-occurrence times. Within this renewal model the asymptotics of the finite-time ruin probability are investigated.
+Normal rank
@@ Property / reviewed by @@
+Emilia Di Lorenzo
@@ Property / reviewed by: Emilia Di Lorenzo / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+K10
@@ Property / Mathematics Subject Classification ID: 60K10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6019419
@@ Property / zbMATH DE Number: 6019419 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+uniform asymptotics
@@ Property / zbMATH Keywords: uniform asymptotics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite-time ruin probability
@@ Property / zbMATH Keywords: finite-time ruin probability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+strong subexponential claim sizes
@@ Property / zbMATH Keywords: strong subexponential claim sizes / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+widely orthant dependent inter-occurrence times
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2012.01.025
+Normal rank
@@ Property / OpenAlex ID @@
+W2059703394
@@ Property / OpenAlex ID: W2059703394 / rank @@
+Normal rank
@@ Property / cites work @@
+Some concepts of negative dependence
@@ Property / cites work: Some concepts of negative dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Q5601945
@@ Property / cites work: Q5601945 / rank @@
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+Tail asymptotics for the supremum of a random walk when the mean is not finite
+Normal rank
@@ Property / cites work @@
+Q4743586
@@ Property / cites work: Q4743586 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
+Normal rank
@@ Property / cites work @@
+Subexponential distributions and integrated tails
@@ Property / cites work: Subexponential distributions and integrated tails / rank @@
+Normal rank
@@ Property / cites work @@
+A property of the renewal counting process with application to the finite-time ruin probability
+Normal rank
@@ Property / cites work @@
+Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of the finite-time ruin probability in renewal risk models
+Normal rank
@@ Property / cites work @@
+Precise large deviations for dependent random variables with heavy tails
+Normal rank
@@ Property / cites work @@
+A note on the almost sure convergence of sums of negatively dependent random variables
+Normal rank
@@ Property / cites work @@
+Submultiplicative moments of the supremum of a random walk with negative drift
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
+Normal rank
@@ Property / cites work @@
+UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE  HORIZONS WITH SUBEXPONENTIAL TAILS
+Normal rank
@@ Property / cites work @@
+Basic renewal theorems for random walks with widely dependent increments
+Normal rank
@@ Property / cites work @@
+Random walks with non-convolution equivalent increments and their applications
+Normal rank
@@ Property / cites work @@
+Some new equivalent conditions on asymptotics and local asymptotics for random sums and their applications
+Normal rank
@@ Property / cites work @@
+Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:408271