Asymptotics for the finite-time ruin probability of a risk model with a general counting process

DOI10.1007/S13160-017-0245-0zbMATH Open1369.62281OpenAlexW2596984633MaRDI QIDQ2364360FDOQ2364360

Authors: Yanzhu Mao, Ling Zhu, Yue Ren, Kaiyong Wang 

Publication date: 19 July 2017

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

Full work available at URL: https://doi.org/10.1007/s13160-017-0245-0

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zbMATH Keywords

asymptoticsfinite-time ruin probabilitydependence structuregeneral risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
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Cited In (6)

• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• Hazard Rate Properties of a General Counting Process Stopped at an Independent Random Time
• Title not available (Why is that?)
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Precise large deviations for widely orthant dependent random variables with different distributions

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