The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks

DOI10.1080/03610926.2016.1202281zbMath1390.91197MaRDI QIDQ4563467

Fenglong Guo, Rongfei Liu, Ding Cheng Wang

Publication date: 1 June 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1202281

zbMATH Keywords

asymptotic estimate; ruin probability; heavy tail; bivariate Sarmanov distribution; one-sided linear process; dependent insurance and financial risks

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property, On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance

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