Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims (Q6044209): Difference between revisions

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scientific article; zbMATH DE number 7686696

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English	Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims	scientific article; zbMATH DE number 7686696

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instance of

scholarly article

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title

Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims (English)

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zbMATH Open document ID

1515.91139

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DOI

10.1016/j.jmaa.2023.127319

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published in

Journal of Mathematical Analysis and Applications

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publication date

17 May 2023

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Mathematics Subject Classification ID

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asymptotic behavior

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ruin probability

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multidimensional risk model

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geometric Lévy price process of investment portfolio

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multivariate regular variation

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MaRDI profile type

MaRDI publication profile

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cites work

Regular variation of GARCH processes.

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Q4726487

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Uniform asymptotics for finite-time ruin probability of a bidimensional risk model

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

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Precise large deviations of random sums in presence of negative dependence and consistent variation

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Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

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Financial Modelling with Jump Processes

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On the observation closest to the origin

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Risk Measures and Multivariate Extensions of Breiman's Theorem

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Probability Inequalities for Sums of Independent Random Variables

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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

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A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

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Moving averages with random coefficients and random coefficient autoregressive models

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A limit distribution of credit portfolio losses with low default probabilities

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Insensitivity to negative dependence of the asymptotic behavior of precise large deviations

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Interplay of insurance and financial risks in a stochastic environment

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Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

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Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

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Asymptotic ruin probabilities for a bidimensional renewal risk model

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Sitelinks

Mathematics(1 entry)

mardi Publication:6044209

@@ Property / cites work @@
+Regular variation of GARCH processes.
@@ Property / cites work: Regular variation of GARCH processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
+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 random sums in presence of negative dependence and consistent variation
+Normal rank
@@ Property / cites work @@
+Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
+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 observation closest to the origin
@@ Property / cites work: On the observation closest to the origin / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Multivariate Extensions of Breiman's Theorem
+Normal rank
@@ Property / cites work @@
+Probability Inequalities for Sums of Independent Random Variables
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
+Normal rank
@@ Property / cites work @@
+A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
+Normal rank
@@ Property / cites work @@
+Moving averages with random coefficients and random coefficient autoregressive models
+Normal rank
@@ Property / cites work @@
+A limit distribution of credit portfolio losses with low default probabilities
+Normal rank
@@ Property / cites work @@
+Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
+Normal rank
@@ Property / cites work @@
+Interplay of insurance and financial risks in a stochastic environment
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
+Normal rank
@@ Property / cites work @@
+Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a bidimensional renewal risk model
+Normal rank