Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims

DOI10.1016/J.SPL.2016.03.005zbMATH Open1414.91217OpenAlexW2298726439MaRDI QIDQ277262FDOQ277262

Authors: Dawei Lu, Bin Zhang 

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2016.03.005

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zbMATH Keywords

large deviationgeneralized risk modelrenewal counting processstrongly subexponential class

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• Applied Probability and Queues
• Subexponential distributions and integrated tails
• Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
• On the first time of ruin in the bivariate compound Poisson model
• Functional large deviations for multivariate regularly varying random walks
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Precise large deviation results for the total claim amount under subexponential claim sizes
• On the ruin probabilities of a bidimensional perturbed risk model

Cited In (14)

• Two-dimensional ruin probability for subexponential claim size
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• Applying of the extreme value theory for determining extreme claims in the automobile insurance sector: case of a China car insurance
• Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Some results on ruin probabilities in a two-dimensional risk model.
• Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims

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