Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

DOI10.1016/j.insmatheco.2015.04.006zbMath1348.91155MaRDI QIDQ495446

Tao Jiang, Yang Chen, Hui Xu, Yue-bao Wang

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.04.006

zbMATH Keywords

subexponential distribution; time dependence; bidimensional renewal model; finite-time ruin probabilities; uniform asymptotic estimate

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on a dependent risk model with constant interest rate
• Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums
• An introduction to copulas.
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Tail behavior of the product of two dependent random variables with applications to risk theory
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• The finite-time ruin probability for ND claims with constant interest force
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• On the ruin probabilities of a bidimensional perturbed risk model
• Subexponentiality of the product of independent random variables
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Some results on ruin probabilities in a two-dimensional risk model.
• Ruin under interest force and subexponential claims: a simple treatment.
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• On the first time of ruin in the bivariate compound Poisson model
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Ruin probabilities in the presence of heavy-tails and interest rates
• Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Exponential Behavior in the Presence of Dependence in Risk Theory