Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (Q549849): Difference between revisions
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| Property / author: Yang Yang / rank | |||
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The paper deals with the dependent renewal risk model, in particular focusing on the finite-time ruin probability, when the claim sizes are i.i.d. with strongly subexponential tails and the interarrival times are negatively dependent. Moreover, the authors obtain an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line. | |||
| Property / review text: The paper deals with the dependent renewal risk model, in particular focusing on the finite-time ruin probability, when the claim sizes are i.i.d. with strongly subexponential tails and the interarrival times are negatively dependent. Moreover, the authors obtain an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line. / 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: 91B70 / 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: 5925620 / rank | |||
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| Property / zbMATH Keywords | |||
Finite-time ruin probability | |||
| Property / zbMATH Keywords: Finite-time ruin probability / rank | |||
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| Property / zbMATH Keywords | |||
strongly subexponential distribution | |||
| Property / zbMATH Keywords: strongly subexponential distribution / rank | |||
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| Property / zbMATH Keywords | |||
negative dependence | |||
| Property / zbMATH Keywords: negative dependence / rank | |||
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Revision as of 13:21, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Uniform estimates for the finite-time ruin probability in the dependent renewal risk model |
scientific article |
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Uniform estimates for the finite-time ruin probability in the dependent renewal risk model (English)
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18 July 2011
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The paper deals with the dependent renewal risk model, in particular focusing on the finite-time ruin probability, when the claim sizes are i.i.d. with strongly subexponential tails and the interarrival times are negatively dependent. Moreover, the authors obtain an asymptotic estimate, which holds uniformly for the time horizon varying in the positive half line.
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Finite-time ruin probability
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strongly subexponential distribution
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negative dependence
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