Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
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Publication:4916402
DOI10.1080/07362994.2013.741386zbMath1271.62244OpenAlexW1965181775MaRDI QIDQ4916402
Yang Chen, Yue-bao Wang, Kai Yong Wang
Publication date: 22 April 2013
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2013.741386
asymptoticsfinite-time ruin probabilityextended negatively orthant dependentheavy-tailed claimtwo-dimensional renewal risk model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)
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Cites Work
- Uniform asymptotics of the finite-time ruin probability for all times
- A note on a dependent risk model with constant interest rate
- Tail asymptotics for the supremum of a random walk when the mean is not finite
- Basic renewal theorems for random walks with widely dependent increments
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Precise large deviations for dependent random variables with heavy tails
- Some concepts of negative dependence
- Subexponentiality of the product of independent random variables
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables
- Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
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