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

DOI10.1007/S13160-017-0245-0MaRDI QIDQ2364360zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Finite-time ruin probability of a compound dependent discrete-time risk model
• Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
• Asymptotics of the finite-time ruin probability of a risk model with Brownian perturbation
• Uniform asymptotics for the ruin probability in a dependent risk model

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• An introduction to heavy-tailed and subexponential distributions
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Precise large deviations for dependent random variables with heavy tails
• Ruin under interest force and subexponential claims: a simple treatment.
• Some concepts of negative dependence
• Subexponential distributions and integrated tails
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(6)

• scientific article; zbMATH DE number 6746497 (Why is no real title available?)
• Precise large deviations for widely orthant dependent random variables with different distributions
• Hazard Rate Properties of a General Counting Process Stopped at an Independent Random Time
• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• 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

This page was built for publication: Asymptotics for the finite-time ruin probability of a risk model with a general counting process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2364360)