Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

DOI10.1080/03610926.2012.759974MaRDI QIDQ2876229zbMATH OpenOpenAlexFDO

Authors Lanpeng Ji, Enkelejd Hashorva

Publication date 18 August 2014

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

Full work available at URL https://serval.unil.ch/notice/serval:BIB_5C63D6C5433F

zbMATH Keywords

Gaussian processfinite-time ruin probabilitysubexponential distributionSparre Andersen risk modelperturbed risk processchi-process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• An Introduction to Heavy-Tailed and Subexponential Distributions
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Convolutions of Long-Tailed and Subexponential Distributions
• On Erlang(2) Risk Process Perturbed by Diffusion
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• On convolution equivalence with applications
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities in perturbed risk models
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• The Time Value of Ruin in a Sparre Andersen Model
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

Cited in

(2)

• Asymptotic expansions for bivariate normal extremes
• On maxima of chi-processes over threshold dependent grids

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