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

DOI10.1016/J.JMAA.2012.01.025zbMATH Open1237.91139OpenAlexW2059703394MaRDI QIDQ408271FDOQ408271

Xiuli Ma, Kaiyong Wang, Zhaolei Cui, Yuebao 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 (54)

• Strong convergence for weighted sums of WOD random variables and its application in the EV regression model.
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
• Asymptotics for the random time ruin probability with non stationary arrivals and Brownian perturbation
• Some convergence properties for partial sums of widely orthant dependent random variables and their statistical applications
• Probability inequalities for sums of WUOD random variables and their applications
• THE CONSISTENCY FOR THE WEIGHTED ESTIMATOR OF NON-PARAMETRIC REGRESSION MODEL BASED ON WIDELY ORTHANT-DEPENDENT ERRORS
• Title not available (Why is that?)
• Exponential probability inequalities for WNOD random variables and their applications
• Complete convergence for arrays of rowwise widely orthant dependent random variables and its applications
• On complete and complete moment convergence for weighted sums of widely orthant dependent random variables
• Strong consistency of least-squares estimators in the simple linear errors-in-variables regression model with widely orthant dependent random variables
• The exponential moment tail of inhomogeneous renewal process
• Asymptotics for randomly weighted and stopped dependent sums
• 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
• Almost sure convergence for weighted sums of WNOD random variables and its applications to non parametric regression models
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• An asymptotic expression for the probability of ruin within finite time
• Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
• Asymptotics for Tail Probability of Random Sums with a Heavy-Tailed Number and Dependent Increments
• Two-dimensional ruin probability for subexponential claim size
• Complete consistency and convergence rate of the nearest neighbor estimator of the density function based on WOD samples
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• The inverse moment for widely orthant dependent random variables
• Tail behavior of supremum of a random walk when Cramér's condition fails
• Elementary renewal theorems for widely dependent random variables with applications to precise large deviations
• The asymptotic properties for the estimators of the survival function and failure rate function based on WOD samples
• On the strong convergence of weighted sums of widely dependent random variables
• Convergence properties for the partial sums of widely orthant dependent random variables under some integrable assumptions and their applications
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Bernstein-type inequality for widely dependent sequence and its application to nonparametric regression models
• Complete convergence for randomly weighted sums of random variables and its application in linear-time-invariant systems
• Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
• The finite-time ruin probability for an inhomogeneous renewal risk model
• On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models
• Precise large deviations for the difference of two sums of WUOD and non identically distributed random variables with dominatedly varying tails
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• The consistency of the nearest neighbor estimator of the density function based on WOD samples
• Limiting behaviour for arrays of rowwise widely orthant dependent random variables under conditions of R − h-integrability and its applications
• Consistency of the Priestley-Chao estimator in nonparametric regression model with widely orthant dependent errors
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• 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
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Strong law of large numbers and complete convergence for non-identically distributed WOD random variables
• Large deviations for sum of UEND andφ-mixing random variables with heavy tails
• Precise large deviations for widely orthant dependent random variables with different distributions
• On complete consistency for the weighted estimator of nonparametric regression models
• Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model

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