Ruin probability and local ruin probability in the random multi-delayed renewal risk model

DOI10.1016/J.SPL.2008.10.001zbMATH Open1156.62362OpenAlexW2043193626MaRDI QIDQ1007342FDOQ1007342

Yuebao Wang, Qingwu Gao

Publication date: 20 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.001

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Ruin probabilities for large claims in delayed renewal risk model

Cited In (13)

• Random walks with non-convolution equivalent increments and their applications
• Randomly weighted sums of dependent subexponential random variables
• Title not available (Why is that?)
• Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims
• Local ruin probability in a risk model with variable premium rates
• Ruin probabilities of a bidimensional risk model with investment
• Ruin probabilities via local adjustment coefficients
• The closure of the convolution equivalent distribution class under convolution roots with applications to random sums
• The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments
• Local asymptotics of a Markov modulated random walk with heavy-tailed increments
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Some discussions on the local distribution classes
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments

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