Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks (Q4576955): Difference between revisions

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scientific article; zbMATH DE number 6901741

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English	Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks	scientific article; zbMATH DE number 6901741

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instance of

scholarly article

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title

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks (English)

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published in

Scandinavian Actuarial Journal

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publication date

11 July 2018

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zbMATH Keywords

asymptotics

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dependence

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dominated variation

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financial risk

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insurance risk

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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/10.1080/03461238.2014.884017

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cites work

Extremes on the discounted aggregate claims in a time dependent risk model

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Asymptotics for risk capital allocations based on conditional tail expectation

0 references

Dependence and the asymptotic behavior of large claims reinsurance

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Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure

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Continuous Bivariate Distributions

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Q4726487

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Q5525727

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

0 references

Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models

0 references

The finite time ruin probability with the same heavy-tailed insurance and financial risks

0 references

Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation

0 references

Precise large deviations of aggregate claims in a size-dependent renewal risk model

0 references

Subexponentiality of the product of independent random variables

0 references

Asymptotic tail probabilities of sums of dependent subexponential random variables

0 references

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

0 references

Regular variation in the tail behaviour of solutions of random difference equations

0 references

Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments

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Q4000335

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Q4382161

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On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations

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Asymptotics in a time-dependent renewal risk model with stochastic return

0 references

Asymptotics for large claims reinsurance in a time-dependent renewal risk model

0 references

On pairwise quasi-asymptotically independent random variables and their applications

0 references

Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model

0 references

A note on a dependent risk model with constant interest rate

0 references

An introduction to copulas.

0 references

On the ruin probabilities in a general economic environment

0 references

Finite and infinite time ruin probabilities in a stochastic economic environment.

0 references

Approximations of the tail probability of the product of dependent extremal random variables and applications

0 references

Bivariate copulas with quadratic sections

0 references

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

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The subexponentiality of products revisited

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ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

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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.

0 references

Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

0 references

On a stochastic difference equation and a representation of non–negative infinitely divisible random variables

0 references

Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

0 references

Subexponentiality of the product of dependent random variables

0 references

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

0 references

Approximation of the tail probability of randomly weighted sums and applications

0 references

Estimates for the finite-time ruin probability with insurance and financial risks

0 references

Identifiers

zbMATH Open document ID

1401.91204

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DOI

10.1080/03461238.2014.884017

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4576955

@@ Property / cites work @@
+Extremes on the discounted aggregate claims in a time dependent risk model
+Normal rank
@@ Property / cites work @@
+Asymptotics for risk capital allocations based on conditional tail expectation
+Normal rank
@@ Property / cites work @@
+Dependence and the asymptotic behavior of large claims reinsurance
+Normal rank
@@ Property / cites work @@
+Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure
+Normal rank
@@ Property / cites work @@
+Continuous Bivariate Distributions
@@ Property / cites work: Continuous Bivariate Distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / rank @@
+Normal rank
@@ Property / cites work @@
+The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
+Normal rank
@@ Property / cites work @@
+The finite time ruin probability with the same heavy-tailed insurance and financial risks
+Normal rank
@@ Property / cites work @@
+Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
+Normal rank
@@ Property / cites work @@
+Precise large deviations of aggregate claims in a size-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+Asymptotic tail probabilities of sums of dependent subexponential random variables
+Normal rank
@@ Property / cites work @@
+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
+Normal rank
@@ Property / cites work @@
+Regular variation in the tail behaviour of solutions of random difference equations
+Normal rank
@@ Property / cites work @@
+Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
+Normal rank
@@ Property / cites work @@
+Q4000335
@@ Property / cites work: Q4000335 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
+Normal rank
@@ Property / cites work @@
+Asymptotics in a time-dependent renewal risk model with stochastic return
+Normal rank
@@ Property / cites work @@
+Asymptotics for large claims reinsurance in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+On pairwise quasi-asymptotically independent random variables and their applications
+Normal rank
@@ Property / cites work @@
+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+A note on a dependent risk model with constant interest rate
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+On the ruin probabilities in a general economic environment
+Normal rank
@@ Property / cites work @@
+Finite and infinite time ruin probabilities in a stochastic economic environment.
+Normal rank
@@ Property / cites work @@
+Approximations of the tail probability of the product of dependent extremal random variables and applications
+Normal rank
@@ Property / cites work @@
+Bivariate copulas with quadratic sections
@@ Property / cites work: Bivariate copulas with quadratic sections / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
+Normal rank
@@ Property / cites work @@
+The subexponentiality of products revisited
@@ Property / cites work: The subexponentiality of products revisited / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
+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 @@
+Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
+Normal rank
@@ Property / cites work @@
+On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
+Normal rank
@@ Property / cites work @@
+Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of dependent random variables
+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
@@ Property / cites work @@
+Estimates for the finite-time ruin probability with insurance and financial risks
+Normal rank