Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
From MaRDI portal
Publication:2252327
DOI10.1016/j.jmaa.2014.05.069zbMath1291.91109OpenAlexW2028557192MaRDI QIDQ2252327
Publication date: 17 July 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.05.069
diffusionasymptotic independenceuniform asymptoticscounting processfinite-time ruin probabilitywidely lower orthant dependence
Related Items
Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims, On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims, Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory, RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS, Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times, Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals, Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations, Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence, A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation, Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments, Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims, Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals, Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments, Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest, A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES, On a two-dimensional risk model with time-dependent claim sizes and risky investments, Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims, Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables, Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation
Cites Work
- Unnamed Item
- Unnamed Item
- Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
- A note on a dependent risk model with constant interest rate
- The asymptotic estimate for the sum of two correlated classes of discounted aggregate claims with heavy tails
- Ruin probabilities of a bidimensional risk model with investment
- Basic renewal theorems for random walks with widely dependent increments
- Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
- Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- On the ruin probabilities of a bidimensional perturbed risk model
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Subexponentiality of the product of independent random variables
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On pairwise quasi-asymptotically independent random variables and their applications
- UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Ruin probabilities in the presence of heavy-tails and interest rates
- Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
