Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force

DOI10.1216/RMJ-2014-44-5-1505zbMATH Open1309.91075OpenAlexW2040558764MaRDI QIDQ485877FDOQ485877

Na Jin, Houcai Shen, Qingwu Gao

Publication date: 14 January 2015

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rmjm/1420071552

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zbMATH Keywords

asymptoticsfinite-time ruin probabilityconsistent variationpairwise quasi-asymptotic independence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cites Work

• Title not available (Why is that?)
• Hidden regular variation, second order regular variation and asymptotic independence
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
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• Ruin under interest force and subexponential claims: a simple treatment.
• Probability of ruin with variable premium rate in a Markovian environment
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• Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve

Cited In (7)

• Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
• Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• Ruin probability with constant interest force and regular variation

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