A note on a dependent risk model with constant interest rate

DOI10.1016/J.SPL.2011.12.016MaRDI QIDQ434700zbMATH OpenOpenAlexFDO

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

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)

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Cited in

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