Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
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Publication:3074498
asymptoticsdependenceuniformityextended regular variationsubexponentialitydiscounted aggregate claims
Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
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- Uniform asymptotics for discounted aggregate claims in dependent risk models
- Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
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Cited in
(only showing first 100 items - show all)- Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
- Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
- Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
- Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
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- Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
- Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
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- Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
- Precise large deviations for sums of random vectors in a multidimensional size-dependent renewal risk model
- Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
- Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
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- Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
- The construction of a quadratic predictor of the discounted renewal claims with dependence
- Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
- The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
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- Revisiting the product of random variables
- Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
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- Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
- Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure
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- Extremes for a general contagion risk measure
- Asymptotics for large claims reinsurance in a time-dependent renewal risk model
- Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
- On extremal behavior of aggregation of largest claims
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- Asymptotic tail probability for the discounted aggregate sums in a time dependent renewal risk model
- Uniform asymptotics for the tail probability of weighted sums with heavy tails
- Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
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- Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
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- Asymptotic bounds for precise large deviations in a compound risk model under dependence structures
- Asymptotics for risk capital allocations based on conditional tail expectation
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