Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks

DOI10.1016/J.INSMATHECO.2013.11.010zbMath1296.91162OpenAlexW2059958240MaRDI QIDQ743132

Jae-Kyung Woo, Jingchen Liu

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/200913

zbMATH Keywords

Lyapunov inequalityheavy-tailed incrementshitting rare setmultivariate regularly variation

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

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