Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

DOI10.3934/JIMO.2022036MaRDI QIDQ2097495zbMATH OpenOpenAlexFDO

Authors Xinru Ji, Bingjie Wang, Ji Gao Yan, Dongya Cheng

Publication date 14 November 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2022036

zbMATH Keywords

finite-time ruin probabilitybidimensional risk modelsubexponential distributionlong-tailed distributioncrude Monte Carlo simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3322636 (Why is no real title available?)
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• An introduction to copulas.
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• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Functional large deviations for multivariate regularly varying random walks
• On joint ruin probabilities of a two-dimensional risk model with constant interest rate
• Subexponentiality of the product of independent random variables
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

Cited in

(2)

• Asymptotic estimates of finite-time ruin probabilities with dependent risks and CMC simulations
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

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