Multivariate risk models under heavy-tailed risks

DOI10.1002/ASMB.1981MaRDI QIDQ6570582zbMATH OpenFDO

Authors Wei Huang, Chengguo Weng, Yi Zhang

Publication date 10 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.1981

zbMATH Keywords

copularegular variationruin probabilitytail dependence functionmultivariate risk model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 5668410 (Why is no real title available?)
• An introduction to copulas.
• Approximation of the tail probability of randomly weighted sums and applications
• Bootstrap approximation of tail dependence function
• Characterization of multivariate heavy-tailed distribution families via copula
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Extremal behavior of Archimedean copulas
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate risk model of phase type
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Some results on ruin probabilities in a two-dimensional risk model.
• Tails of multivariate Archimedean copulas

Cited in

(2)

• Asymptotic estimates for ruin probabilities in a bidimensional delay-claim risk model with subexponential claims
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails

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