The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks (Q4563467): Difference between revisions

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scientific article; zbMATH DE number 6879779

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English	The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks	scientific article; zbMATH DE number 6879779

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instance of

scholarly article

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title

The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks (English)

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zbMATH Open document ID

1390.91197

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DOI

10.1080/03610926.2016.1202281

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Communications in Statistics - Theory and Methods

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publication date

1 June 2018

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Mathematics Subject Classification ID

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asymptotic estimate

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bivariate Sarmanov distribution

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dependent insurance and financial risks

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heavy tail

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one-sided linear process

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ruin probability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2016.1202281

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Time series: theory and methods.

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Subexponentiality of the product of independent random variables

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The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

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Exponential smoothing and credibility theory

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Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

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Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

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Q4493303

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The supremum of a negative drift random walk with dependent heavy-tailed steps.

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Ruin problems with assets and liabilities of diffusion type

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The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process

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Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.

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Randomly weighted sums of subexponential random variables with application to ruin theory

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Properties and applications of the sarmanov family of bivariate distributions

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Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory

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Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

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MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

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Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation

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Tail behavior of the product of two dependent random variables with applications to risk theory

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Approximation of the tail probability of randomly weighted sums and applications

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Sitelinks

Mathematics(1 entry)

mardi Publication:4563467

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@@ Property / cites work: Q3773148 / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
+Normal rank
@@ Property / cites work @@
+Exponential smoothing and credibility theory
@@ Property / cites work: Exponential smoothing and credibility theory / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
+Normal rank
@@ Property / cites work @@
+Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
+Normal rank
@@ Property / cites work @@
+Q4493303
@@ Property / cites work: Q4493303 / rank @@
+Normal rank
@@ Property / cites work @@
+The supremum of a negative drift random walk with dependent heavy-tailed steps.
+Normal rank
@@ Property / cites work @@
+Ruin problems with assets and liabilities of diffusion type
+Normal rank
@@ Property / cites work @@
+The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process
+Normal rank
@@ Property / cites work @@
+Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of subexponential random variables with application to ruin theory
+Normal rank
@@ Property / cites work @@
+Properties and applications of the sarmanov family of bivariate distributions
+Normal rank
@@ Property / cites work @@
+Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
+Normal rank
@@ Property / cites work @@
+Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
+Normal rank
@@ Property / cites work @@
+MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE  MODEL WITH CONSTANT INTEREST RATE
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
+Normal rank
@@ Property / cites work @@
+Tail behavior of the product of two dependent random variables with applications to risk theory
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of randomly weighted sums and applications
+Normal rank