Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest (Q2252327): Difference between revisions

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English	Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest	scientific article

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title

Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest (English)

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Journal of Mathematical Analysis and Applications

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publication date

17 July 2014

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zbMATH Keywords

uniform asymptotics

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finite-time ruin probability

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diffusion

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asymptotic independence

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counting process

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widely lower orthant dependence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmaa.2014.05.069

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cites work

The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails

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Q4726487

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The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

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

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Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal 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 aggregate claims in a size-dependent renewal risk model

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Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

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Subexponentiality of the product of independent random variables

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Q4343010

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Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

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UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE

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Asymptotic tail probabilities of sums of dependent subexponential random variables

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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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Ruin probabilities in the presence of heavy-tails and interest rates

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

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On pairwise quasi-asymptotically independent random variables and their applications

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On the ruin probabilities of a bidimensional perturbed risk model

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

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Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims

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A note on a dependent risk model with constant interest rate

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The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails

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Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation

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

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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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Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

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

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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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Basic renewal theorems for random walks with widely dependent increments

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Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims

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Ruin probabilities of a bidimensional risk model with investment

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Identifiers

zbMATH Open document ID

1291.91109

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DOI

10.1016/j.jmaa.2014.05.069

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2252327

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2014.05.069
+Normal rank
@@ Property / OpenAlex ID @@
+W2028557192
@@ Property / OpenAlex ID: W2028557192 / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
+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 @@
+Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal 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 aggregate claims in a size-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
+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 @@
+Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
+Normal rank
@@ Property / cites work @@
+UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE
+Normal rank
@@ Property / cites work @@
+Asymptotic tail probabilities of sums of dependent subexponential random variables
+Normal rank
@@ Property / cites work @@
+A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in the presence of heavy-tails and interest rates
+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 @@
+On pairwise quasi-asymptotically independent random variables and their applications
+Normal rank
@@ Property / cites work @@
+On the ruin probabilities of a bidimensional perturbed risk model
+Normal rank
@@ Property / cites work @@
+Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
+Normal rank
@@ Property / cites work @@
+A note on a dependent risk model with constant interest rate
+Normal rank
@@ Property / cites work @@
+The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
+Normal rank
@@ Property / cites work @@
+Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
+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 @@
+Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
+Normal rank
@@ Property / cites work @@
+Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
+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 @@
+Basic renewal theorems for random walks with widely dependent increments
+Normal rank
@@ Property / cites work @@
+Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
+Normal rank
@@ Property / cites work @@
+Ruin probabilities of a bidimensional risk model with investment
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2252327