Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
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Publication:2515265
DOI10.3934/jimo.2016.12.31zbMath1317.62013OpenAlexW2335272218MaRDI QIDQ2515265
Juan Zheng, Qingwu Gao, Zhongquan Huang, Houcai Shen
Publication date: 31 July 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.31
asymptoticsquasi-asymptotic independencesubexponentialitytime-dependencerandom-time ruin probability
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (2)
Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
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