Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

DOI10.1016/J.INSMATHECO.2014.07.007zbMATH Open1304.60100OpenAlexW2018500191MaRDI QIDQ2513634FDOQ2513634

Authors: Jinzhu Li, Hai-Zhong Yang 

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.07.007

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zbMATH Keywords

asymptoticsFarlie-Gumbel-Morgenstern distributionruin probabilitysubexponentialitybidimensional renewal risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

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• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums

Cited In (38)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• Bivariate regular variation among randomly weighted sums in general insurance
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• A particular bidimensional time-dependent renewal risk model with constant interest rates
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• A \(2\times 2\) random switching model and its dual risk model
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

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