Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims

asymptotics bivariate Sarmanov dependence extended regular variation finite-time and infinite-time ruin probabilities subexponentiality two-dimensional delayed renewal risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

Properties and applications of the sarmanov family of bivariate distributions
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Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
Tail behavior of the product of two dependent random variables with applications to risk theory
Multivariate risk model of phase type
A Note on Cumulative Sums
On the first time of ruin in the bivariate compound Poisson model
Functional large deviations for multivariate regularly varying random walks
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
On the ruin probabilities of a bidimensional perturbed risk model
The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
Randomly weighted sums of subexponential random variables with application to ruin theory
Dependence properties and bounds for ruin probabilities in multivariate compound risk models
Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
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
Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

Cited In (19)

Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
The limit theorems for function of Markov chains in the environment of single infinite Markovian systems
Asymptotics for ultimate ruin probability in a by-claim risk model
Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed 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
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
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
Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims

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