ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

DOI10.1017/S0269964806060062zbMath1136.91490MaRDI QIDQ5291231

Qi-he Tang

Publication date: 9 May 2006

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK, Some properties of the exponential distribution class with applications to risk theory, Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables, Estimates for the finite-time ruin probability with insurance and financial risks, The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables, Ruin with insurance and financial risks following the least risky FGM dependence structure, The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks, The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance

Cites Work

• Convolution tails, product tails and domains of attraction
• Subexponentiality of the product of independent random variables
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Asymptotic ruin probabilities and optimal investment
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities and penalty functions with stochastic rates of interest
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities with dependent rates of interest
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal investment for insurers