Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals

DOI10.1080/03610926.2018.1529242MaRDI QIDQ5077974zbMATH OpenOpenAlexWikidataFDO

Authors Ke-Ang Fu, Jie Li

Publication date 20 May 2022

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

Full work available at URL https://doi.org/10.1080/03610926.2018.1529242

zbMATH Keywords

Hawkes processruin probabilitybidimensional risk modelconsistent variationnon-stationary arrival process

Mathematics Subject Classification ID

Statistics (62-XX) Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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Cited in

(3)

• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims

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