Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes

DOI10.1016/J.SPL.2012.05.010zbMath1247.91081OpenAlexW1973143472MaRDI QIDQ452891

Xiaodong Bai, Lixin Song

Publication date: 18 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.05.010

zbMATH Keywords

asymptoticsconditional independencerenewal risk modelrandom time absolute ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (1)

Asymptotics for randomly weighted and stopped dependent sums

Cites Work

• Unnamed Item
• The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
• Random time ruin probability for the renewal risk model with heavy-tailed claims
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• An Introduction to Heavy-Tailed and Subexponential Distributions
• On Sums of Conditionally Independent Subexponential Random Variables
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• On the time value of absolute ruin with debit interest
• Ruin estimation for a general insurance risk model
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• A Note on Cumulative Sums

This page was built for publication: Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes