The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
DOI10.1016/J.JKSS.2011.08.006zbMATH Open1296.91171OpenAlexW2069917243MaRDI QIDQ459487FDOQ459487
Xin Ma, Jinguan Lin, Yang Yang, Chao Huang
Publication date: 13 October 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.006
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- Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate
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dependencefinite-time ruin probabilitysubexponential distributioncompound renewal risk modelordinary renewal risk model
Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
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- Large deviations for heavy-tailed random sums in compound renewal model
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- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
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- Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
- Ruin under interest force and subexponential claims: a simple treatment.
- Sums of Dependent Nonnegative Random Variables with Subexponential Tails
Cited In (15)
- Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
- Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
- Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
- Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
- Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
- Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
- On extremal behavior of aggregation of largest claims
- Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims
- Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
- Exponential bounds for ruin probability in two moving average risk models with constant interest rate
- Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
- Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
- Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
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