Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
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Publication:383966
DOI10.1016/j.spl.2013.03.029zbMath1279.91099MaRDI QIDQ383966
Publication date: 6 December 2013
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2013.03.029
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G70: Extreme value theory; extremal stochastic processes
60G50: Sums of independent random variables; random walks
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Cites Work
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- On the ruin probabilities of a bidimensional perturbed risk model
- Approximation of the tail probability of randomly weighted sums and applications
- Some results on ruin probabilities in a two-dimensional risk model.
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Multivariate risk model of phase type
- Heavy-Tail Phenomena