The impact on ruin probabilities of the association structure among financial risks

DOI10.1016/J.SPL.2007.03.042MaRDI QIDQ2467388zbMATH OpenOpenAlexFDO

Authors Raluca Vernic, Qihe Tang

Publication date 21 January 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2007.03.042

zbMATH Keywords

asymptoticsFarlie-Gumbel-Morgenstern distributionruin probabilitystationary process

Mathematics Subject Classification ID

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Cites work

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• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
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• 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
• Introduction to Time Series and Forecasting
• Moving averages with random coefficients and random coefficient autoregressive models
• On the ruin probabilities in a general economic environment
• 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
• Some properties and generalizations of multivariate Eyraud-Gumbel- Morgenstern distributions
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(22)

• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier
• Sufficient and necessary conditions for the strong consistency of LS estimators in simple linear EV regression models
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• The strong law of large numbers for extended negatively dependent random variables
• Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks
• Discrete-time risk processes with after-effects and association
• Marcinkiewicz–Zygmund type strong law of large numbers for weighted sums of random variables with infinite moment and its applications
• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
• Ruin probabilities with insurance and financial risks having an FGM dependence structure
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Uniformly complete consistency of frequency polygon estimation for dependent samples and an application
• Ruin with insurance and financial risks following the least risky FGM dependence structure
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• scientific article; zbMATH DE number 3978237 (Why is no real title available?)
• Approximations of the tail probability of the product of dependent extremal random variables and applications

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