The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

DOI10.1239/jap/1324046017zbMath1230.91069MaRDI QIDQ3108473

Yiqing Chen

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1324046017

zbMATH Keywords

asymptotics; subexponential distribution; Farlie-Gumbel-Morgenstern distribution; finite-time ruin probability; maximum domain of attraction

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E10: Characterization and structure theory of statistical distributions

Related Items

The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks, A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization, ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK, Some properties of the exponential distribution class with applications to risk theory, Ruin probabilities with insurance and financial risks having an FGM dependence structure, Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices, Tail behavior of the product of two dependent random variables with applications to risk theory, Asymptotics of convolution with the semi-regular-variation tail and its application to risk, Interplay of subexponential and dependent insurance and financial risks, A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks, Risk- and value-based management for non-life insurers under solvency constraints, Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks, The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks, Ruin with insurance and financial risks following the least risky FGM dependence structure, Extremes and products of multivariate AC-product risks, Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims, The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks, The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times, Subexponentiality of the product of dependent random variables, Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks, Tail asymptotic of Weibull-type risks, The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotics of random contractions
• Estimates for the finite-time ruin probability with insurance and financial risks
• Approximation of the tail probability of randomly weighted sums and applications
• Convolution tails, product tails and domains of attraction
• The class of subexponential distributions
• Subexponentiality of the product of independent random variables
• Regular variation in the tail behaviour of solutions of random difference equations
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• The subexponentiality of products revisited
• The impact on ruin probabilities of the association structure among financial risks
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Subexponential distributions and integrated tails
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance