Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

DOI10.1016/J.SPL.2013.02.018zbMATH Open1283.62213OpenAlexW2036808678MaRDI QIDQ386284FDOQ386284

Authors: Qingwu Gao, Xijun Liu 

Publication date: 9 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.02.018

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zbMATH Keywords

counting processesuniform asymptoticsupper tail asymptotic independencewidely lower orthant dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
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• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
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Cited In (21)

• Title not available (Why is that?)
• Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory
• Title not available (Why is that?)
• Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
• Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
• Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force

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