The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims

DOI10.1016/J.JKSS.2011.08.006zbMATH1296.91171OpenAlexW2069917243MaRDI QIDQ459487FDOQ459487

Authors Jinguan Lin, Xin Ma, 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

zbMATH Keywords

dependencefinite-time ruin probabilitysubexponential distributioncompound renewal risk modelordinary renewal risk model

Mathematics Subject Classification ID

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)

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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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Cites work

• scientific article; zbMATH DE number 3738722 (Why is no real title available?)
• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• A large deviation result for aggregate claims with dependent claim occurrences
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Large deviations for heavy-tailed random sums in compound renewal model
• Negative association of random variables, with applications
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin under interest force and subexponential claims: a simple treatment.
• Some concepts of negative dependence
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• The finite-time ruin probability of the compound Poisson model with constant interest force

Cited in

(20)

• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Ruin probability in a one-sided linear model with constant interest rate
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims
• Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
• Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables
• 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
• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• On extremal behavior of aggregation of largest claims
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate

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