Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments (Q5085844): Difference between revisions

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scientific article; zbMATH DE number 7550692

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English	Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments	scientific article; zbMATH DE number 7550692

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scholarly article

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title

Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments (English)

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30 June 2022

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zbMATH Keywords

asymptotics

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dependence

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dominatedly-varying tails

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Lévy process

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ruin probability

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renewal risk model

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uniformity

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/17442508.2017.1365077

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cites work

Exponential Behavior in the Presence of Dependence in Risk Theory

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

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Dependent Risk Models with Bivariate Phase-Type Distributions

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Q4726487

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On a risk model with dependence between interclaim arrivals and claim sizes

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Q5525727

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Time series: theory and methods.

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Subexponentiality of the product of independent random variables

0 references

Financial Modelling with Jump Processes

0 references

On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

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Q4343010

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Optimal portfolios when stock prices follow an exponential Lévy process

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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

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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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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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

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Power tailed ruin probabilities in the presence of risky investments.

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Integrated insurance risk models with exponential Lévy investment

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Q4493303

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

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

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

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On Cramér-like asymptotics for risk processes with stochastic return on investments

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Ruin models with investment income

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Ruin probability in a one-sided linear model with constant interest rate

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

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Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

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Q4937701

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Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

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Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums

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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

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

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

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Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

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On the supremum of an infinitely divisible process

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

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Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models

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

0 references

Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

0 references

On the renewal risk process with stochastic interest

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

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Identifiers

zbMATH Open document ID

1492.91083

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DOI

10.1080/17442508.2017.1365077

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5085844

@@ Property / cites work @@
+Exponential Behavior in the Presence of Dependence in Risk Theory
+Normal rank
@@ Property / cites work @@
+Extremes on the discounted aggregate claims in a time dependent risk model
+Normal rank
@@ Property / cites work @@
+Dependent Risk Models with Bivariate Phase-Type Distributions
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+On a risk model with dependence between interclaim arrivals and claim sizes
+Normal rank
@@ Property / cites work @@
+Q5525727
@@ Property / cites work: Q5525727 / 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 @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when stock prices follow an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
+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 @@
+A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
+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 @@
+Power tailed ruin probabilities in the presence of risky investments.
+Normal rank
@@ Property / cites work @@
+Integrated insurance risk models with exponential Lévy investment
+Normal rank
@@ Property / cites work @@
+Q4493303
@@ Property / cites work: Q4493303 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics in a time-dependent renewal risk model with stochastic return
+Normal rank
@@ Property / cites work @@
+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+The supremum of a negative drift random walk with dependent heavy-tailed steps.
+Normal rank
@@ Property / cites work @@
+On Cramér-like asymptotics for risk processes with stochastic return on investments
+Normal rank
@@ Property / cites work @@
+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probability in a one-sided linear model with constant interest rate
+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 @@
+Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
+Normal rank
@@ Property / cites work @@
+Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
+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 @@
+Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
+Normal rank
@@ Property / cites work @@
+Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
+Normal rank
@@ Property / cites work @@
+On the supremum of an infinitely divisible process
+Normal rank
@@ Property / cites work @@
+MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE  MODEL WITH CONSTANT INTEREST RATE
+Normal rank
@@ Property / cites work @@
+Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
+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 @@
+Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
+Normal rank
@@ Property / cites work @@
+On the renewal risk process with stochastic interest
+Normal rank
@@ Property / cites work @@
+Estimates for the finite-time ruin probability with insurance and financial risks
+Normal rank