Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims (Q2168589): Difference between revisions

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scientific article

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English	Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims	scientific article

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scholarly article

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title

Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims (English)

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DOI

10.1016/j.amc.2022.127436

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author

Ming Cheng

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Dimitrios G. Konstantinides

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Ding Cheng Wang

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published in

Applied Mathematics and Computation

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publication date

26 August 2022

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Mathematics Subject Classification ID

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stochastic return

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multivariate regular variation

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risk model

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ruin probability

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càdlàg process

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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.amc.2022.127436

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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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Q3560912

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Q4726487

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Some results on ruin probabilities in a two-dimensional risk model.

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Dependence properties and bounds for ruin probabilities in multivariate compound risk models

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Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

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Q4343010

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Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments

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Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns

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Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims

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

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Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

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

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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

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Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks

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Q3771297

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Heavy-Tail Phenomena

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Stochastic calculus for finance. II: Continuous-time models.

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

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Interplay of insurance and financial risks in a stochastic environment

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On the supremum of an infinitely divisible process

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Asymptotic ruin probabilities for a bidimensional renewal risk model

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Sitelinks

Mathematics(1 entry)

mardi Publication:2168589

@@ 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 @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Some results on ruin probabilities in a two-dimensional risk model.
+Normal rank
@@ Property / cites work @@
+Dependence properties and bounds for ruin probabilities in multivariate compound risk models
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
+Normal rank
@@ Property / cites work @@
+Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
+Normal rank
@@ Property / cites work @@
+Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
+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 @@
+Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+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 @@
+Interplay of insurance and financial risks in a stochastic environment
+Normal rank
@@ Property / cites work @@
+On the supremum of an infinitely divisible process
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities for a bidimensional renewal risk model
+Normal rank