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

DOI10.1080/03610926.2019.1565782OpenAlexW2943020688WikidataQ127958028 ScholiaQ127958028MaRDI QIDQ5077384FDOQ5077384

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

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zbMATH Keywords

uniform asymptoticsheavy-tailed distributionsfinite-time ruin probabilitiestwo-dimensional renewal risk model

Mathematics Subject Classification ID

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

Cites Work

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Cited In (13)

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

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