Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims

DOI10.1007/s11009-013-9375-2zbMath1319.91097OpenAlexW2092562591MaRDI QIDQ2516394

Jinsen Zhuang, Xiaohu Li, Jintang Wu

Publication date: 31 July 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9375-2

zbMATH Keywords

asymptotic independencecapital transferoptimal allocation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)

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