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

DOI10.3934/jimo.2009.5.719zbMath1183.62185OpenAlexW2085533693MaRDI QIDQ2379816

Qingwu Gao, Xijun Liu, Yue-bao Wang, Kai Yong 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

negative dependencerenewal risk modelheavy-tailed claimsrandom time ruin probability

Mathematics Subject Classification ID

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

Related Items (7)

Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes ⋮ Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times ⋮ Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate ⋮ Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims ⋮ Asymptotics for randomly weighted and stopped dependent sums

This page was built for publication: Random time ruin probability for the renewal risk model with heavy-tailed claims