Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims

DOI10.1007/S10986-012-9159-3zbMATH Open1292.91098OpenAlexW2001539715MaRDI QIDQ392997FDOQ392997

Authors: Yang Yang, Kaiyong Wang 

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

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zbMATH Keywords

dependenceuniform asymptoticsdominatedly varying tailfinite-time and infinite-time ruin probabilitieslong tail

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited In (19)

• Title not available (Why is that?)
• The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
• A note on a dependent risk model with constant interest rate
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model
• On closeness of two discrete weighted sums
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• Finite-time ruin probability of a dependent risk model with a constant interest rate
• Uniform asymptotics for the ruin probability in a dependent risk model
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate

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