Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
From MaRDI portal
Publication:2923428
DOI10.1239/jap/1409932666zbMath1303.91097MaRDI QIDQ2923428
Dimitrios G. Konstantinides, Yang Yang, Kai Yong Wang
Publication date: 15 October 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1409932666
uniformity; Lévy process; dependence; dominatedly varying tail; consistently varying tail; long tail; discounted aggregate claim
60G51: Processes with independent increments; Lévy processes
60G70: Extreme value theory; extremal stochastic processes
60K05: Renewal theory
Related Items
Asymptotics for ultimate ruin probability in a by-claim risk model, Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes, Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims, Uniform asymptotics for discounted aggregate claims in dependent multi-risk model, Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, Unnamed Item, Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors, Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance, On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading, On a perturbed Sparre Andersen risk model with dividend barrier and dependence, The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation, Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims, Uniform asymptotics for finite-time ruin probability of a bidimensional risk model, Precise large deviations for the aggregate claims in a dependent compound renewal risk model, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims, Asymptotics for a bidimensional risk model with two geometric Lévy price processes, Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory, Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns, The finite-time ruin probability of a risk model with a general counting process and stochastic return
Cites Work
- Unnamed Item
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
- On the renewal risk process with stochastic interest
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- Some concepts of negative dependence
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Subexponentiality of the product of independent random variables
- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Ruin under interest force and subexponential claims: a simple treatment.
- Power tailed ruin probabilities in the presence of risky investments.
- Negative association of random variables, with applications
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Risk theory in a stochastic economic environment
- Ruin probabilities and penalty functions with stochastic rates of interest
- Characterizations and examples of hidden regular variation
- Tail asymptotics for exponential functionals of Lévy processes
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Ruin probabilities for a~risk process with stochastic return on investments.
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Ruin probabilities in the presence of heavy-tails and interest rates
- Ruin theory with stochastic return on investments
- Financial Modelling with Jump Processes
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Some Concepts of Dependence