Precise large deviations for a multidimensional risk model with regression dependence structure

DOI10.1017/S0269964823000220MaRDI QIDQ6965251zbMATH OpenFDO

Authors Yang Liu, Ke-Ang Fu, Zhenlong Chen

Publication date 3 July 2025

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/S0269964823000220

zbMATH Keywords

consistently varying tailmultidimensional risk modelprecise large deviationsregression dependence

Mathematics Subject Classification ID

Large deviations (60F10) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Cites work

• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Extremes on the discounted aggregate claims in a time dependent risk model
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
• Lower bounds of large deviation for sums of long-tailed claims in a multi-risk model
• On the strong law of large numbers for sequences of dependent random variables
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Precise large deviations for strong subexponential distributions and applications on a multi risk model
• Precise large deviations for sums of random variables with consistent variation in dependent multi-risk models
• Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
• Precise large deviations for sums of random vectors with dependent components of consistently varying tails
• Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
• Precise large deviations of aggregate claims in a risk model with size dependence and non stationary arrivals
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(1)

• Vector-type precise large deviations for a nonstandard multidimensional risk model with some arbitrary dependence structures

This page was built for publication: Precise large deviations for a multidimensional risk model with regression dependence structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6965251)