Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

DOI10.1016/J.INSMATHECO.2016.04.003zbMATH Open1369.91089OpenAlexW2338880407MaRDI QIDQ343963FDOQ343963

Authors: Dimitrios G. Konstantinides, Jinzhu Li 

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.003

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zbMATH Keywords

asymptoticsdependenceruin probabilitymultidimensional renewal risk modelmultivariate regular variation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited In (27)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Risk measures and multivariate extensions of Breiman's theorem
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Two-dimensional ruin probability for subexponential claim size
• Ruin probability in a multi-dimensional dependent risk model of a variable ruin limit under thinning process
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
• Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model
• Tail behavior of discounted portfolio loss under upper tail comonotonicity
• Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Continuity inequalities for multidimensional renewal risk models
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• A \(2\times 2\) random switching model and its dual risk model
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
• Ruin probabilities in multivariate risk models with periodic common shock

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