The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks (Q1782035): Difference between revisions

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English	The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks	scientific article

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scholarly article

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title

The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks (English)

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Acta Mathematicae Applicatae Sinica. English Series

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publication date

18 September 2018

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zbMATH Keywords

discrete-time risk model

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finite-time ruin probability

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subexponentiality

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product

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dependence structure

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10255-018-0768-4

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cites work

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

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Dependence and the asymptotic behavior of large claims reinsurance

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Q3992980

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

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Interplay of subexponential and dependent insurance and financial risks

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The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

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

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Subexponentiality of the product of independent random variables

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Q4343010

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An Introduction to Heavy-Tailed and Subexponential Distributions

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

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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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Asymptotics of random contractions

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Q4382161

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Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.

0 references

Some asymptotic results for sums of dependent random variables, with actuarial applications

0 references

Interplay of insurance and financial risks in a discrete-time model with strongly regular variation

0 references

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

0 references

The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks

0 references

An introduction to copulas.

0 references

Ruin problems with assets and liabilities of diffusion type

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On the ruin probabilities in a general economic environment

0 references

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

0 references

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

0 references

On the behavior of the product of independent random variables

0 references

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

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The subexponentiality of products revisited

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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

The impact on ruin probabilities of the association structure among financial risks

0 references

Randomly weighted sums of subexponential random variables with application to capital allocation

0 references

Ruin probabilities in a discrete time risk model with dependent risks of heavy tail

0 references

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

0 references

Subexponentiality of the product of dependent random variables

0 references

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

0 references

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

0 references

Approximation of the tail probability of randomly weighted sums and applications

0 references

Identifiers

zbMATH Open document ID

1401.62217

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Mathematics Subject Classification ID

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10.1007/S10255-018-0768-4

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Sitelinks

Mathematics(1 entry)

mardi Publication:1782035

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@@ Property / author @@
-Wen Sheng Wang
@@ Property / author: Wen Sheng Wang / rank @@
-Normal rank
@@ Property / author @@
+Wen Sheng Wang
@@ Property / author: Wen Sheng Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10255-018-0768-4
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+W2887886845
@@ Property / OpenAlex ID: W2887886845 / rank @@
+Normal rank
@@ Property / cites work @@
+Extremes on the discounted aggregate claims in a time dependent risk model
+Normal rank
@@ Property / cites work @@
+Dependence and the asymptotic behavior of large claims reinsurance
+Normal rank
@@ Property / cites work @@
+Q3992980
@@ Property / cites work: Q3992980 / rank @@
+Normal rank
@@ Property / cites work @@
+The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
+Normal rank
@@ Property / cites work @@
+Interplay of subexponential and dependent insurance and financial risks
+Normal rank
@@ Property / cites work @@
+The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
+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 @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to Heavy-Tailed and Subexponential Distributions
+Normal rank
@@ Property / cites work @@
+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
+Normal rank
@@ Property / cites work @@
+A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
+Normal rank
@@ Property / cites work @@
+Asymptotics of random contractions
@@ Property / cites work: Asymptotics of random contractions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
+Normal rank
@@ Property / cites work @@
+Some asymptotic results for sums of dependent random variables, with actuarial applications
+Normal rank
@@ Property / cites work @@
+Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
+Normal rank
@@ Property / cites work @@
+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin problems with assets and liabilities of diffusion type
+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 @@
+Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
+Normal rank
@@ Property / cites work @@
+On the behavior of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
+Normal rank
@@ Property / cites work @@
+The subexponentiality of products revisited
@@ Property / cites work: The subexponentiality of products revisited / rank @@
+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 @@
+The impact on ruin probabilities of the association structure among financial risks
+Normal rank
@@ Property / cites work @@
+Randomly weighted sums of subexponential random variables with application to capital allocation
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of dependent random variables
+Normal rank
@@ Property / cites work @@
+Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
+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 @@
+Approximation of the tail probability of randomly weighted sums and applications
+Normal rank
@@ Property / DOI @@
+.1007/S10255-018-0768-4
@@ Property / DOI: 10.1007/S10255-018-0768-4 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1782035