Ruin probability in a risk model under unexpected random heavy-tailed claims

zbMATH Open1265.62028MaRDI QIDQ4901904FDOQ4901904

Authors: Xiuchun Bi, Shuguang Zhang 

Publication date: 24 January 2013

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zbMATH Keywords

heavy-tailed distributionsgeneralized renewal risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (12)

• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• Comparison of ruin probability estimates in the presence of heavy tails
• Title not available (Why is that?)
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• The limit properties for a risk model with heavy-tailed potential claims
• An asymptotic relationship for ruin probabilities under heavy-tailed claims
• Title not available (Why is that?)
• The finite-time ruin probability for risk models with upper-tailed independent heavily-tailed prospective claims
• Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
• Survival probability in a risk model under heavy-tailed claims
• Ruin probabilities in the mixed claim frequency risk models
• Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail

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