Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns

DOI10.1016/J.CAM.2016.03.038zbMATH Open1337.62327OpenAlexW2326853616MaRDI QIDQ289299FDOQ289299

Authors: Ke-Ang Fu, Huijie Li 

Publication date: 30 May 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.03.038

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zbMATH Keywords

ruin probabilityby-claimdominatedly varying tailinvestment returnquasi-asymptotic independence

Mathematics Subject Classification ID

Large deviations (60F10) 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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Cited In (14)

• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
• Uniform asymptotics for a renewal risk model with a random number of delayed claims
• Asymptotics for a time-dependent by-claim model with dependent subexponential claims
• Asymptotics for ultimate ruin probability in a by-claim risk model
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Title not available (Why is that?)
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
• A note on a by-claim risk model: Asymptotic results
• Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims

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