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

DOI10.1016/J.INSMATHECO.2015.04.006MaRDI QIDQ495446zbMATH OpenOpenAlexFDO

Authors Tao Jiang, Yang Chen, Hui Xu, Yuebao 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 distributiontime dependencebidimensional renewal modelfinite-time ruin probabilitiesuniform asymptotic estimate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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Cited in

(27)

• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
• The uniform local asymptotics of the bidimensional discounted aggregate claim process
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Two-dimensional ruin probability for subexponential claim size
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• A \(2\times 2\) random switching model and its dual risk model
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Asymptotics for a time-dependent by-claim model with dependent subexponential claims
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• A particular bidimensional time-dependent renewal risk model with constant interest rates
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
• A dependent insurance risk model with surrender and investment under the thinning process
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims

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