Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions

DOI10.1016/j.spl.2020.108871zbMath1460.60035arXiv2005.12637OpenAlexW3030187554MaRDI QIDQ2216948

Miriam Hägele

Publication date: 18 December 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.12637

zbMATH Keywords

ruin probabilitysubexponential distributionmultivariate random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Credit risk (91G40)

Related Items (1)

Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims

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• Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation

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