Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes

zbMATH Open1298.62185MaRDI QIDQ464575FDOQ464575

Authors: Fei Ding, Hongmei Wu, Tingting Pan, Kaiyong Wang 

Publication date: 27 October 2014

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://bims.iranjournals.ir/article_531_62.html

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zbMATH Keywords

asymptoticsdominatedly varying tailconstant interest rateinfinite time ruin probability

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) 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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