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

DOI10.1002/ASMB.834zbMATH Open1275.91075OpenAlexW2069980569MaRDI QIDQ2862425FDOQ2862425

Kam Chuen Yuen, Kai Wang Ng, Yiqing Chen

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

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zbMATH Keywords

asymptoticsrenewal processfinite-time ruin probabilityheavy tailuniformitytwo-dimensional risk model

Mathematics Subject Classification ID

Cites Work

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Cited In (52)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
• Bivariate regular variation among randomly weighted sums in general insurance
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Two-dimensional ruin probability for subexponential claim size
• Bidimensional discrete-time risk models based on bivariate claim count time series
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Continuity inequalities for multidimensional renewal risk models
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• 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
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• A \(2\times 2\) random switching model and its dual risk model
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• 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
• Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
• Ruin probabilities in multivariate risk models with periodic common shock
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation

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