Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
From MaRDI portal
Publication:343963
Recommendations
- 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
- Asymptotic ruin probabilities for a bidimensional renewal risk model
- A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- Asymptotic estimates of ruin probabilities for a time-dependent renewal risk model with dominatedly-varying-tailed and dependent claims
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Asymptotic finite-time ruin probability for multivariate heavy-tailed claims
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 7651636 (Why is no real title available?)
- A Note on Cumulative Sums
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Asymptotic results for ruin probability of a two-dimensional renewal risk model
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Heavy-Tail Phenomena
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Multivariate models for operational risk
- On joint ruin probabilities of a two-dimensional risk model with constant interest rate
- On optimal portfolio diversification with respect to extreme risks
- On the ruin probabilities of a bidimensional perturbed risk model
- Regular variation of GARCH processes.
- Risk measures and multivariate extensions of Breiman's theorem
- Ruin probabilities of a bidimensional risk model with investment
- Tail risk of multivariate regular variation
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
Cited in
(28)- Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Risk measures and multivariate extensions of Breiman's theorem
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- 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
- 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 multidimensional risk models with stochastic returns and regular variation claims
- Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
- Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
- Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
- Ruin probabilities in multivariate risk models with periodic common shock
This page was built for publication: Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q343963)
