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

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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