Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

DOI10.1080/03461238.2014.884017zbMath1401.91204OpenAlexW2083310376MaRDI QIDQ4576955

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Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.884017

zbMATH Keywords

asymptoticsruin probabilityfinancial riskdependenceinsurance riskdominated variation

Mathematics Subject Classification ID

Related Items (17)

Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Generalized moments of sums with heavy-tailed random summands ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Measuring the tail risk: an asymptotic approach ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Optimal Control and Sensitivity Analysis for Two Risk Models ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

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