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

DOI10.1007/S13160-020-00418-YzbMATH Open1460.62198OpenAlexW3016288520MaRDI QIDQ2227313FDOQ2227313

Xin-Zhi Wang, Dongya Cheng, Yang Yang

Publication date: 15 February 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-020-00418-y

Recommendations

• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

zbMATH Keywords

ruin probabilitysubexponential distributionbidimensional renewal risk modelstrongly asymptotic independence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Uniform asymptotics of the finite-time ruin probability for all times
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Tail behavior of the product of two dependent random variables with applications to risk theory
• A Note on Cumulative Sums
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Ruin probabilities of a bidimensional risk model with investment
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• On the ruin probabilities of a bidimensional perturbed risk model
• Subexponentiality of the product of independent random variables
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Interplay of insurance and financial risks in a stochastic environment
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Title not available (Why is that?)
• 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
• Bivariate regular variation among randomly weighted sums in general insurance

Cited In (17)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims

This page was built for publication: Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2227313)