Random time ruin probability for the renewal risk model with heavy-tailed claims

DOI10.3934/JIMO.2009.5.719MaRDI QIDQ2379816zbMATH OpenOpenAlexFDO

Authors Qingwu Gao, Xijun Liu, Yuebao Wang, Kaiyong Wang

Publication date 22 March 2010

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

Full work available at URL https://doi.org/10.3934/jimo.2009.5.719

zbMATH Keywords

heavy-tailed claimsnegative dependencerandom time ruin probabilityrenewal risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(13)

• Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
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• Asymptotics for randomly weighted and stopped dependent sums
• Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
• The weakly asymptotic behavior for ruin probability within finite time in renewal model with NA heavy-tailed claims
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• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
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