Asymptotics for ultimate ruin probability in a by-claim risk model
From MaRDI portal
Publication:4993830
DOI10.15388/namc.2021.26.20948zbMath1466.91274MaRDI QIDQ4993830
Aili Zhang, Shuang Liu, Yang Yang
Publication date: 10 June 2021
Published in: Nonlinear Analysis: Modelling and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15388/namc.2021.26.20948
asymptotic behavior; ultimate ruin probability; bivariate regular variation; main claim and by-claim
91G05: Actuarial mathematics
Related Items
Asymptotics for a time-dependent by-claim model with dependent subexponential claims, Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
- Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Asymptotics in a time-dependent renewal risk model with stochastic return
- The compound binomial risk model with time-correlated claims
- Ruin probabilities allowing for delay in claims settlement
- On the observation closest to the origin
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Interplay of financial and insurance risks in dependent discrete-time risk models
- Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Bivariate regular variation among randomly weighted sums in general insurance
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
- On pairwise quasi-asymptotically independent random variables and their applications
- Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
- A Risk Model with Delayed Claims
- Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
- Dependence Modeling with Copulas
- A note on a by-claim risk model: Asymptotic results
- Asymptotic ruin probability for a by-claim risk model with pTQAI claims and constant interest force
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Interplay of insurance and financial risks in a stochastic environment
- Heavy-Tail Phenomena
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
