The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

DOI10.1016/J.JKSS.2011.08.006zbMath1296.91171OpenAlexW2069917243MaRDI QIDQ459487

Xin Ma, Chao Huang, Jin-Guan Lin, Yang Yang

Publication date: 13 October 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.006

zbMATH Keywords

compound renewal risk modelsubexponential distributiondependencefinite-time ruin probabilityordinary renewal risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (8)

Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ On extremal behavior of aggregation of largest claims ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables ⋮ Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

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• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
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