Finite time ruin probability with heavy-tailed insurance and financial risks

DOI10.1016/J.SPL.2006.04.029MaRDI QIDQ2432787zbMATH OpenOpenAlexFDO

Authors Yu Chen, Chun Su

Publication date 25 October 2006

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.04.029

zbMATH Keywords

financial riskindependent productinsurance riskruin probabilitysubexponentiality

Mathematics Subject Classification ID

Special processes (60K99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• scientific article; zbMATH DE number 4030594 (Why is no real title available?)
• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• On convolution tails
• On the behavior of the product of independent random variables
• On the ruin probabilities in a general economic environment
• Power tailed ruin probabilities in the presence of risky investments.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin problems with assets and liabilities of diffusion type
• Subexponentiality of the product of independent random variables

Cited in

(27)

• Approximation of the tail probability of randomly weighted sums and applications
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• Finite time ruin probabilities for tempered stable insurance risk processes
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• The finite time ruin probability with the same heavy-tailed insurance and financial risks
• Finite horizon ruin probabilities for random walks with heavy tailed increments
• Risk measures and multivariate extensions of Breiman's theorem
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Estimation of the ruin probability in infinite time for heavy right-tailed losses
• Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Some properties of the exponential distribution class with applications to risk theory
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Asymptotics for Weighted Random Sums
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• Finite time ruin probability in a two-dimensional model with heavy-tailed insurance and financial risks
• Uniform estimate on finite time ruin probabilities with random interest rate
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• Estimates for the finite-time ruin probability with insurance and financial risks
• Regularity of a randomly stopped sum determines regularity of the stopping moment

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