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

DOI10.1016/j.insmatheco.2016.04.003zbMath1369.91089OpenAlexW2338880407MaRDI QIDQ343963

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

zbMATH Keywords

asymptoticsruin probabilitydependencemultidimensional renewal risk modelmultivariate regular variation

Mathematics Subject Classification ID

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

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