Tail asymptotic of discrete-time risk model with compound dependence and numerical simulation

MaRDI QIDQ5075221zbMATH OpenFDO

Authors Haojie Jing, Jiangyan Peng, Zhiquan Jiang

Publication date 10 May 2022

Full work available at URL http://aps.ecnu.edu.cn/EN/abstract/abstract9437.shtml

zbMATH Keywords

heavy tailednumerical simulationone-sided linear processpairwise asymptotically independent

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05) Actuarial mathematics (91G05)

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• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• Asymptotic estimates for ruin probabilities of a discrete-time risk model under double dependence structures and numerical simulations
• Asymptotic estimates of finite-time ruin probabilities with dependent risks and CMC simulations

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