Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model (Q1929911): Difference between revisions

Summary: We discuss the uniformly asymptotic estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model, where the interarrival times of successive accidents and all the claim sizes caused by an accident are two sequences of random variables following a wide dependence structure. This wide dependence structure allows random variables to be either negatively dependent or positively dependent.

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MaRDI profile type

MaRDI publication profile

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cites work

Large deviations for heavy-tailed random sums in compound renewal model

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Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model

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Tail behavior of random sums of negatively associated increments

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Approximation of the tail probability of dependent random sums under consistent variation and applications

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Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

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Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation

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Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

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Uniform asymptotics of the finite-time ruin probability for all times

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Q5601945

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Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution

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One-sided analogues of Karamata's regular variation

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Intermediate Regular and Π Variation

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Subexponentiality of the product of independent random variables

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Subexponential distributions and integrated tails

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Q4343010

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Tail asymptotics for the supremum of a random walk when the mean is not finite

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Q4726487

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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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Q4743586

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Some concepts of negative dependence

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Precise large deviations for dependent random variables with heavy tails

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

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Negative association of random variables, with applications

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

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Basic renewal theorems for random walks with widely dependent increments

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A note on the almost sure convergence of sums of negatively dependent random variables

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Modeling teletraffic arrivals by a Poisson cluster process

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Identifiers

zbMATH Open document ID

1282.91151

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DOI

10.1155/2012/936525

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1929911

@@ Property / cites work @@
+Large deviations for heavy-tailed random sums in compound renewal model
+Normal rank
@@ Property / cites work @@
+Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
+Normal rank
@@ Property / cites work @@
+Tail behavior of random sums of negatively associated increments
+Normal rank
@@ Property / cites work @@
+Approximation of the tail probability of dependent random sums under consistent variation and applications
+Normal rank
@@ Property / cites work @@
+Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
+Normal rank
@@ Property / cites work @@
+Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
+Normal rank
@@ Property / cites work @@
+Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics of the finite-time ruin probability for all times
+Normal rank
@@ Property / cites work @@
+Q5601945
@@ Property / cites work: Q5601945 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
+Normal rank
@@ Property / cites work @@
+One-sided analogues of Karamata's regular variation
+Normal rank
@@ Property / cites work @@
+Intermediate Regular and Π Variation
@@ Property / cites work: Intermediate Regular and Π Variation / rank @@
+Normal rank
@@ Property / cites work @@
+Subexponentiality of the product of independent random variables
+Normal rank
@@ Property / cites work @@
+Subexponential distributions and integrated tails
@@ Property / cites work: Subexponential distributions and integrated tails / rank @@
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail asymptotics for the supremum of a random walk when the mean is not finite
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+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 @@
+Q4743586
@@ Property / cites work: Q4743586 / rank @@
+Normal rank
@@ Property / cites work @@
+Some concepts of negative dependence
@@ Property / cites work: Some concepts of negative dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Precise large deviations for dependent random variables with heavy tails
+Normal rank
@@ Property / cites work @@
+Precise large deviations of random sums in presence of negative dependence and consistent variation
+Normal rank
@@ Property / cites work @@
+Negative association of random variables, with applications
+Normal rank
@@ Property / cites work @@
+Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
+Normal rank
@@ Property / cites work @@
+Basic renewal theorems for random walks with widely dependent increments
+Normal rank
@@ Property / cites work @@
+A note on the almost sure convergence of sums of negatively dependent random variables
+Normal rank
@@ Property / cites work @@
+Modeling teletraffic arrivals by a Poisson cluster process
+Normal rank