Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks

DOI10.1007/S10986-017-9378-8zbMATH Open1458.62255OpenAlexW2779265154MaRDI QIDQ1754541FDOQ1754541

Authors: Miaomiao Gao, Yang Yang, Yang Chen, Kaiyong Wang 

Publication date: 31 May 2018

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-017-9378-8

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zbMATH Keywords

asymptoticsfinite-time ruin probabilitySarmanov distributionlight-tailed distribution class

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Cites Work

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Cited In (21)

• The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
• Asymptotics for the sum of three state Markov dependent random variables
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Tails of higher-order moments with dominatedly varying summands
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Estimate for the finite-time ruin probability in the discrete-time risk model with insurance and financial risks
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• Optimal investment strategy for an insurer with partial information in capital and insurance markets
• Asymptotics for a discrete-time risk model with gamma-like insurance risks
• On a closure property of convolution equivalent class of distributions
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Interplay of financial and insurance risks in dependent discrete-time risk models
• The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• Title not available (Why is that?)

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