Estimates for the finite-time ruin probability with insurance and financial risks

DOI10.1007/s10255-012-0189-8zbMath1252.62107OpenAlexW2083489243MaRDI QIDQ692739

Min Zhou, Yue-bao Wang, Kai Yong Wang

Publication date: 6 December 2012

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0189-8

zbMATH Keywords

financial riskinsurance riskfinite-time ruin probabilitydominated varying tail

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns, Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory, APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS, Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory, Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks, Interplay of subexponential and dependent insurance and financial risks, Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory, Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns, Tail behavior of the product of two dependent random variables with applications to risk theory, Some properties of the exponential distribution class with applications to risk theory, Ruin probabilities with insurance and financial risks having an FGM dependence structure, Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks, Randomly weighted sums with dominated varying-tailed increments and application to risk theory, The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks, Asymptotics for randomly weighted and stopped dependent sums, The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks, Ruin with insurance and financial risks following the least risky FGM dependence structure, Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations, Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some properties of the exponential distribution class with applications to risk theory
• Degeneracy properties of subcritical branching processes
• Subexponentiality of the product of independent random variables
• Functions of probability measures
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• From light tails to heavy tails through multiplier
• One-sided analogues of Karamata's regular variation
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• Subexponential distributions and integrated tails
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Convolution equivalence and infinite divisibility
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Association of Random Variables, with Applications