On pairwise quasi-asymptotically independent random variables and their applications

DOI10.1016/j.spl.2013.05.023zbMath1279.62212OpenAlexW2054158526MaRDI QIDQ2637381

Jinzhu Li

Publication date: 11 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.05.023

zbMATH Keywords

asymptoticsruin probabilityquasi-asymptotic independencedominated variationby-claims

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (40)

Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns ⋮ Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Unnamed Item ⋮ An asymptotic study of systemic expected shortfall and marginal expected shortfall ⋮ Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate ⋮ Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim ⋮ The limit property of a risk model based on entrance processes ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims ⋮ Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Unnamed Item ⋮ Uniform asymptotics for the tail probability of weighted sums with heavy tails ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest ⋮ Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process ⋮ Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables ⋮ Precise large deviations for the aggregate claims in a dependent compound renewal risk model ⋮ Uniform approximation of the tail probability of weighted sums of subexponential random variables ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

Cites Work

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• Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• The compound binomial risk model with time-correlated claims
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Ruin probabilities allowing for delay in claims settlement
• Subexponentiality of the product of independent random variables
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Hidden regular variation, second order regular variation and asymptotic independence
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• Characterizations and examples of hidden regular variation
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

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