Asymptotic ruin probabilities for a bidimensional renewal risk model

DOI10.1080/17442508.2016.1276909MaRDI QIDQ4584665zbMATH OpenOpenAlexFDO

Authors Hai-Zhong Yang, Jinzhu Li

Publication date 4 September 2018

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2016.1276909

zbMATH Keywords

asymptoticsruin probabilityextended regular variationsubexponential classbidimensional renewal risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
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• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models

Cited in

(43)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory*
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• Asymptotics for ultimate ruin probability in a by-claim risk model
• On the ruin probabilities of a bidimensional perturbed risk model
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• A particular bidimensional time-dependent renewal risk model with constant interest rates
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
• A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses

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