A note on a dependent risk model with constant interest rate

DOI10.1016/J.SPL.2011.12.016zbMATH Open1242.91094OpenAlexW1982559090MaRDI QIDQ434700FDOQ434700

Authors: Xijun Liu, Qingwu Gao, Yuebao Wang 

Publication date: 16 July 2012

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

Full work available at URL: https://doi.org/10.1016/j.spl.2011.12.016

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zbMATH Keywords

uniform asymptoticsfinite-time ruin probabilityupper tail asymptotic independencewidely lower orthant dependenceconstant interest rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

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• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• The finite-time ruin probability of the compound Poisson model with constant interest force
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• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
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• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Characterizations and examples of hidden regular variation
• The finite-time ruin probability for ND claims with constant interest force

Cited In (75)

• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Generalized moments of sums with heavy-tailed random summands
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• 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 the compound risk model with dependence structures and constant force of interest
• Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function
• Title not available (Why is that?)
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force
• Strong law of large numbers and complete convergence for non-identically distributed WOD random variables
• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• An exponential inequality and its application to \(M\) estimators in multiple linear models
• Complete convergence for weighted sums of WNOD random variables and its applications
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Exponential probability inequalities for WNOD random variables and their applications
• Asymptotic property of \(M\) estimator in classical linear models under dependent random errors
• Randomly weighted sums of dependent random variables with dominated variation
• Title not available (Why is that?)
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• Asymptotics for randomly weighted and stopped dependent sums
• Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times
• Complete and complete moment convergence for weighted sums of widely orthant dependent random variables
• The limit property of a risk model based on entrance processes
• An inequality of widely dependent random variables and its applications
• Weak max-sum equivalence for dependent heavy-tailed random variables
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Tails of higher-order moments with dominatedly varying summands
• On a constant interest risk model with debit interest and tax payments
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• The inverse moment for widely orthant dependent random variables
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• 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
• Uniform approximation of the tail probability of weighted sums of subexponential random variables
• Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
• Precise large deviations of aggregate claim amount in a dependent 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
• Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
• Convergence for weighted sums of widely orthant dependent random variables
• Uniform asymptotics for the tail probability of weighted sums with heavy tails
• Asymptotics for the partial sum and its maximum of dependent random variables
• On complete convergence for widely orthant-dependent random variables and its applications in nonparametric regression models
• 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
• The consistency of the nearest neighbor estimator of the density function based on WOD samples
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• Randomly weighted sums of pairwise quasi upper-tail independent increments with application to risk theory
• Max-sum equivalence of conditionally dependent random variables
• 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
• Consistency of the Priestley-Chao estimator in nonparametric regression model with widely orthant dependent errors
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• The strong consistency of \(M\) estimator in linear models based on widely orthant dependent errors
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• On consistency of the weighted least squares estimators in a semiparametric regression model
• Asymptotic bounds for precise large deviations in a compound risk model under dependence structures
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• On the ruin of a dependent risk model with a constant interest
• Finite-time ruin probability of a dependent risk model with a constant interest rate
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Precise large deviations for widely orthant dependent random variables with different distributions

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