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

DOI10.3934/jimo.2022036OpenAlexW4226158648MaRDI QIDQ2097495

Bingjie Wang, Xinru Ji, Ji Gao Yan, Dong Ya 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

subexponential distributionlong-tailed distributionfinite-time ruin probabilitybidimensional risk modelcrude 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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