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

DOI10.1016/J.SPL.2020.108871MaRDI QIDQ2216948zbMATH OpenOpenAlexFDO

Authors 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, http://hdl.handle.net/10138/320516

zbMATH Keywords

multivariate random walkruin probabilitysubexponential distribution

Mathematics Subject Classification ID

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

Abstract: This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate subexponentiality and admit dependence between components. Keywords: subexponential distribution, ruin probability, multivariate random walk

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Cites work

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Cited in

(10)

• Asymptotic behavior of reliability function for multidimensional aggregated Weibull type reliability indices
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin
• An asymptotic relationship for ruin probabilities under heavy-tailed claims
• Finite horizon ruin probabilities for random walks with heavy tailed increments
• Multivariate subexponential distributions and their applications
• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• Asymptotic finite-time ruin probability for multivariate heavy-tailed claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Random vectors in the presence of a single big jump

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