Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times

DOI10.1080/03610926.2019.1565782MaRDI QIDQ5077384zbMATH OpenOpenAlexWikidataFDO

Authors Dongya Cheng, Changjun Yu

Publication date 18 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1565782

zbMATH Keywords

finite-time ruin probabilitiesheavy-tailed distributionstwo-dimensional renewal risk modeluniform asymptotics

Mathematics Subject Classification ID

Statistics (62-XX) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An inequality of widely dependent random variables and its applications
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotic ruin probabilities for a bidimensional renewal risk model
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Basic renewal theorems for random walks with widely dependent increments
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
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• Ruin probabilities of a bidimensional risk model with investment
• Some concepts of negative dependence
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• The strong law of large numbers for extended negatively dependent random variables
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Uniform asymptotics of the finite-time ruin probability for all times

Cited in

(14)

• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
• Complete convergence for randomly weighted sums of random variables and its application in linear-time-invariant systems
• Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Asymptotic estimates for ruin probabilities in a bidimensional delay-claim risk model with subexponential claims

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