Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

DOI10.1080/15326340701826898zbMath1132.91502OpenAlexW2116829796MaRDI QIDQ5454668

Ding Cheng Wang

Publication date: 31 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340701826898

zbMATH Keywords

asymptotic behaviorcounting processfinite-time ruin probabilityconstant interest ratedelayed renewal risk modelsubexponentially tailed claim sizes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)

Related Items (35)

Asymptotics for the finite-time ruin probability of a risk model with a general counting process ⋮ Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims ⋮ Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims ⋮ The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims ⋮ Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest ⋮ Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims ⋮ Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate ⋮ Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims ⋮ A note on a dependent risk model with constant interest rate ⋮ Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims ⋮ Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force ⋮ A uniform asymptotic estimate for discounted aggregate claims with subexponential tails ⋮ Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims ⋮ Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model ⋮ Extremes on the discounted aggregate claims in a time dependent risk model ⋮ Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims ⋮ Precise large deviations for the aggregate claims in a dependent compound renewal risk model ⋮ Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications ⋮ Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails

Cites Work

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• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
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• The finite-time ruin probability of the compound Poisson model with constant interest force
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• A Note on Cumulative Sums

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