A note on a dependent risk model with constant interest rate

DOI10.1016/j.spl.2011.12.016zbMath1242.91094OpenAlexW1982559090MaRDI QIDQ434700

Qingwu Gao, Xijun Liu, Yue-bao 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

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Cites Work

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• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• The finite-time ruin probability for ND claims with constant interest force
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• Characterizations and examples of hidden regular variation
• The finite-time ruin probability of the compound Poisson model with constant interest force
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