scientific article; zbMATH DE number 6831818

MaRDI QIDQ3132390zbMATH OpenFDO

Authors Rongfei Liu

Publication date 29 January 2018

zbMATH Keywords

dependent insurance riskdiscrete-time risk modelheavy-tailed claim-innovationone-sided linear process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(18)

• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• The ruin probability of a discrete-time risk model with a one-sided linear claim process
• Ruin probability for a discrete time model with investment returns and dependent structure
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent 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
• Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process
• Finite-time ruin probability of a compound dependent discrete-time risk model
• Asymptotic estimates for ruin probabilities of a discrete-time risk model under double dependence structures and numerical simulations
• Asymptotic estimates of finite-time ruin probabilities with dependent risks and CMC simulations
• Tail asymptotic of discrete-time risk model with compound dependence and numerical simulation
• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
• ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
• The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
• Finite-time ruin probability of a compound risk model with dependent claim sizes
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model

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