Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims

DOI10.3934/jimo.2016.12.31zbMath1317.62013MaRDI 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

zbMATH Keywords

asymptotics; quasi-asymptotic independence; subexponentiality; time-dependence; random-time ruin probability

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

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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