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

DOI10.1016/J.SPL.2008.10.001MaRDI QIDQ1007342zbMATH OpenOpenAlexFDO

Authors Qingwu Gao, Yuebao Wang

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)

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Cited in

(19)

• Local asymptotics of a Markov modulated random walk with heavy-tailed increments
• A note on the ruin probability in the delayed renewal risk model
• Random walks with non-convolution equivalent increments and their applications
• Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims
• Ruin probabilities via local adjustment coefficients
• Randomly weighted sums of dependent subexponential random variables
• Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails
• Asymptotics for the moments of the overshoot and undershoot of a random walk
• Local ruin probabilities in the multi-delayed compound renewal risk model
• The key renewal theorem with multi-delay and applications to risk theory
• Extension of some classical results on ruin probability to delayed renewal model
• scientific article; zbMATH DE number 2165829 (Why is no real title available?)
• Some discussions on the local distribution classes
• Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments
• Local ruin probability in the delayed renewal risk model with large claims
• 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 ruin probability in a risk model with variable premium rates
• Ruin probabilities of a bidimensional risk model with investment

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