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

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

zbMATH Keywords

asymptoticsquasi-asymptotic independencesubexponentialitytime-dependencerandom-time ruin probability

Mathematics Subject Classification ID

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

Cites Work

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