Uniform asymptotics of the finite-time ruin probability for all times (Q408271): Difference between revisions
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The study focuses on the uniform asymptotic behavior of the finite-time ruin probability, within a risk framework which provides advancements about the hypotheses involving claim sizes. In particular, the authors consider independent strong subexponential claim sizes and widely lower orthant dependent inter-occurrence times. Within this renewal model the asymptotics of the finite-time ruin probability are investigated. | |||
Property / review text: The study focuses on the uniform asymptotic behavior of the finite-time ruin probability, within a risk framework which provides advancements about the hypotheses involving claim sizes. In particular, the authors consider independent strong subexponential claim sizes and widely lower orthant dependent inter-occurrence times. Within this renewal model the asymptotics of the finite-time ruin probability are investigated. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Emilia Di Lorenzo / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60K10 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6019419 / rank | |||
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Property / zbMATH Keywords | |||
uniform asymptotics | |||
Property / zbMATH Keywords: uniform asymptotics / rank | |||
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Property / zbMATH Keywords | |||
finite-time ruin probability | |||
Property / zbMATH Keywords: finite-time ruin probability / rank | |||
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strong subexponential claim sizes | |||
Property / zbMATH Keywords: strong subexponential claim sizes / rank | |||
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Property / zbMATH Keywords | |||
widely orthant dependent inter-occurrence times | |||
Property / zbMATH Keywords: widely orthant dependent inter-occurrence times / rank | |||
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Revision as of 18:59, 29 June 2023
scientific article
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English | Uniform asymptotics of the finite-time ruin probability for all times |
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Uniform asymptotics of the finite-time ruin probability for all times (English)
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29 March 2012
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The study focuses on the uniform asymptotic behavior of the finite-time ruin probability, within a risk framework which provides advancements about the hypotheses involving claim sizes. In particular, the authors consider independent strong subexponential claim sizes and widely lower orthant dependent inter-occurrence times. Within this renewal model the asymptotics of the finite-time ruin probability are investigated.
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uniform asymptotics
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finite-time ruin probability
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strong subexponential claim sizes
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widely orthant dependent inter-occurrence times
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