Two-dimensional ruin probability for subexponential claim size (Q4578300)

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scientific article; zbMATH DE number 6914917

Language	Label	Description	Also known as
English	Two-dimensional ruin probability for subexponential claim size	scientific article; zbMATH DE number 6914917

Statements

scholarly article

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zbMATH Open document ID

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Zbigniew Palmowski

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Sergeĭ Georgievich Foss

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Dmitrii Korshunov

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publication date

8 August 2018

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full work available at URL

https://arxiv.org/abs/1702.01312

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http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=37.2&nrA=7&ppB=319&ppE=335

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

two-dimensional risk process

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ruin probability

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subexponential distribution

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MaRDI profile type

MaRDI publication profile

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arXiv classification

math.PR

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On Exceedance Times for Some Processes with Dependent Increments

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Large deviations results for subexponential tails, with applications to insurance risk

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Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results

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A two-dimensional ruin problem on the positive quadrant

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Queues and Risk Models with Simultaneous Arrivals

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Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model

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Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models

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Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

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Asymptotics of randomly stopped sums in the presence of heavy tails

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An Introduction to Heavy-Tailed and Subexponential Distributions

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The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk

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The maximum on a random time interval of a random walk with long-tailed increments and negative drift.

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On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

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Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

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On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes

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On the ruin probabilities of a bidimensional perturbed risk model

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Tandem Brownian queues

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Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims

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Uniform asymptotics of the finite-time ruin probability for all times

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On the first time of ruin in the bivariate compound Poisson model

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Sitelinks

Mathematics(1 entry)

mardi Publication:4578300

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