Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
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Publication:392997
DOI10.1007/s10986-012-9159-3zbMath1292.91098MaRDI QIDQ392997
Publication date: 15 January 2014
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-012-9159-3
uniform asymptotics; dependence; dominatedly varying tail; finite-time and infinite-time ruin probabilities; long tail
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
62E10: Characterization and structure theory of statistical distributions
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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