Asymptotics for a bidimensional risk model with two geometric Lévy price processes

DOI10.3934/JIMO.2018053zbMATH Open1438.91119OpenAlexW2802842333MaRDI QIDQ2313745FDOQ2313745

Authors: Yang Yang, Jiajun Liu, Zhimin Zhang, Kaiyong Wang 

Publication date: 23 July 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2018053

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zbMATH Keywords

asymptoticsdependencebidimensional risk modeldominatedly varying tailconsistently varying taillong tailinfinite-time and finite-time ruin probabilitiesgeometric Lévy price process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Renewal theory (60K05)

Cites Work

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Cited In (36)

• Probability inequalities for sums of WUOD random variables and their applications
• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data
• Asymptotics for value at risk and conditional tail expectation of a portfolio loss
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Asymptotics for ultimate ruin probability in a by-claim risk model
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
• 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
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential 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
• Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims

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