The finite time ruin probability with the same heavy-tailed insurance and financial risks

DOI10.1007/s10255-005-0226-yzbMath1077.62099OpenAlexW2047072943MaRDI QIDQ2577656

Yiqing Chen, Xiangsheng Xie

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1007/s10255-005-0226-y

zbMATH Keywords

heavy tails

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

Related Items (6)

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Estimates for the finite-time ruin probability with insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure

Cites Work

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• Subexponentiality of the product of independent random variables
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications

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