Asymptotics for a bidimensional risk model with two geometric Lévy price processes
From MaRDI portal
Publication:2313745
DOI10.3934/jimo.2018053zbMath1438.91119MaRDI QIDQ2313745
Jiajun Liu, Yang Yang, Zhimin Zhang, Kai Yong Wang
Publication date: 23 July 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2018053
asymptotics; dependence; bidimensional risk model; dominatedly varying tail; consistently varying tail; long tail; geometric Lévy price process; infinite-time and finite-time ruin probabilities
60G51: Processes with independent increments; Lévy processes
60K05: Renewal theory
91G05: Actuarial mathematics
Related Items
Asymptotics for ultimate ruin probability in a by-claim risk model, Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes, Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims, RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS, Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate, Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations, Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence, Probability inequalities for sums of WUOD random variables and their applications, A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data, Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims, Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments, Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims, Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims, A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model, Precise large deviations for the aggregate claims in a dependent compound renewal risk model, Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims, Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model, Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations, Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims, Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims, Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process, Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim, The finite-time ruin probability of a risk model with a general counting process and stochastic return
Cites Work
- Unnamed Item
- Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
- A note on a dependent risk model with constant interest rate
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- On the ruin probabilities of a bidimensional perturbed risk model
- Some concepts of negative dependence
- Distributions for the risk process with a stochastic return on investments.
- Power tailed ruin probabilities in the presence of risky investments.
- Negative association of random variables, with applications
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Risk theory in a stochastic economic environment
- Characterizations and examples of hidden regular variation
- On the first time of ruin in the bivariate compound Poisson model
- Functional large deviations for multivariate regularly varying random walks
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
- Ruin theory with stochastic return on investments
- Asymptotic ruin probabilities for a bidimensional renewal risk model
- Financial Modelling with Jump Processes
- Some Concepts of Dependence