Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

DOI10.1002/ASMB.834MaRDI QIDQ2862425zbMATH OpenOpenAlexFDO

Authors Yiqing Chen, Kai Wang Ng, Kam Chuen Yuen

Publication date 15 November 2013

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.834

zbMATH Keywords

asymptoticsrenewal processfinite-time ruin probabilityheavy tailuniformitytwo-dimensional risk model

Mathematics Subject Classification ID

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Cited in

(60)

• Ruin probabilities for two risk models with asymptotically independent and dependent classes
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
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• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
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• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• Bidimensional discrete-time risk models based on bivariate claim count time series
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• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
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• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
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• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest

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