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

DOI10.1016/J.INSMATHECO.2015.04.006zbMATH Open1348.91155OpenAlexW1993049408MaRDI QIDQ495446FDOQ495446

Tao Jiang, Yuebao Wang, Yang Chen, Hui Xu

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

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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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Cited In (22)

• Title not available (Why is that?)
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Two-dimensional ruin probability for subexponential claim size
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Asymptotics for a time-dependent by-claim model with dependent subexponential claims
• On a two-dimensional risk model with time-dependent claim sizes 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 the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• 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
• 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
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• A \(2\times 2\) random switching model and its dual risk model
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force

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