Uniform asymptotics of the finite-time ruin probability for all times

DOI10.1016/J.JMAA.2012.01.025MaRDI QIDQ408271zbMATH OpenOpenAlexFDO

Authors Zhaolei Cui, Xiuli Ma, Yuebao Wang, Kaiyong Wang

Publication date 29 March 2012

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2012.01.025

zbMATH Keywords

uniform asymptoticsfinite-time ruin probabilitystrong subexponential claim sizeswidely orthant dependent inter-occurrence times

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited in

(59)

• Some convergence properties for partial sums of widely orthant dependent random variables and their statistical applications
• Asymptotics for tail probability of random sums with a heavy-tailed number and dependent increments
• Probability inequalities for sums of WUOD random variables and their applications
• Exponential probability inequalities for WNOD random variables and their applications
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• Asymptotics for randomly weighted and stopped dependent sums
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• The asymptotic behavior of the ruin probability within a random horizon
• An inequality of widely dependent random variables and its applications
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• An asymptotic expression for the probability of ruin within finite time
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Almost sure convergence for weighted sums of WNOD random variables and its applications to non parametric regression models
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• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• The uniform local asymptotics for a Lévy process and its overshoot and undershoot
• Further Spitzer's law for widely orthant dependent random variables
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Large deviations for sum of UEND andφ-mixing random variables with heavy tails
• Strong law of large numbers and complete convergence for non-identically distributed WOD random variables
• Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation
• Precise large deviations for widely orthant dependent random variables with different distributions
• On complete consistency for the weighted estimator of nonparametric regression models

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