Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals (Q6054128): Difference between revisions

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scientific article; zbMATH DE number 7753898

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English	Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals	scientific article; zbMATH DE number 7753898

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scholarly article

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title

Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals (English)

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Journal of Mathematical Inequalities

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publication date

24 October 2023

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zbMATH Keywords

random-time ruin probability

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non-stationary arrival process

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subexponentiality

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upper tail asymptotic independence

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diffusion

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.7153/jmi-2023-17-54

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cites work

Ruin probabilities and aggregrate claims distributions for shot noise Cox processes

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Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure

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Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate

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Large Deviations of Poisson Cluster Processes

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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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Q4391441

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An Introduction to the Theory of Point Processes

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Q4343010

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Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals

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RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS

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Precise large deviations in a bidimensional risk model with arbitrary dependence between claim-size vectors and waiting times

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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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Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims

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

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Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest

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A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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Spectra of some self-exciting and mutually exciting point processes

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

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A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation

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A note on a dependent risk model with constant interest rate

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Uniform asymptotics for the compound risk model with dependence structures and constant force of interest

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Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

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Q4864754

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

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On convolution equivalence with applications

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

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

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

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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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The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

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Random time ruin probability for the renewal risk model with heavy-tailed claims

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Large deviations for Markovian nonlinear Hawkes processes

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Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims

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Identifiers

Mathematics Subject Classification ID

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10.7153/JMI-2023-17-54

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Sitelinks

Mathematics(1 entry)

mardi Publication:6054128

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