Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate

DOI10.1080/03610926.2013.809242zbMath1334.62178OpenAlexW2054476412MaRDI QIDQ2792301

Xiaodong Bai, Lixin Song, Yue-bao Wang

Publication date: 8 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.809242

zbMATH Keywords

subexponential distributionrenewal risk modelrandom time ruin probabilityuniform asymptotic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals

Cites Work

• Randomly weighted sums of subexponential random variables with application to ruin theory
• Random time ruin probability for the renewal risk model with heavy-tailed claims
• Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• A Note on Cumulative Sums