The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

DOI10.1016/j.insmatheco.2014.09.010zbMath1306.91086OpenAlexW2095328486MaRDI QIDQ2514617

Li Wei, Ying Sun

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.010

zbMATH Keywords

asymptoticsproductheavy-tailed distributiondependencefinite-time ruin probabilityinsurance and financial risks

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (8)

A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ 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 ⋮ The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

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