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

DOI10.1007/s13160-017-0245-0zbMath1369.62281OpenAlexW2596984633MaRDI QIDQ2364360

Ling Zhu, Yue Ren, Yanzhu Mao, Kai Yong 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

asymptoticsdependence structurefinite-time ruin probabilitygeneral 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)

Related Items (3)

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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