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

DOI10.3934/JIMO.2022036OpenAlexW4226158648MaRDI QIDQ2097495FDOQ2097495

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

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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)

Cites Work

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• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• 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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