The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims

DOI10.1080/03610926.2020.1811337MaRDI QIDQ5079815zbMATH OpenOpenAlexFDO

Authors Fengyang Cheng, Hui Xu

Publication date 30 May 2022

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

Full work available at URL https://arxiv.org/abs/1705.09939

zbMATH Keywords

conditionally independentfinite-time ruin probabilitiesnonhomogeneous Poisson processrandomly weighted sumssubexponential distributions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• An introduction to heavy-tailed and subexponential distributions
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• scientific article; zbMATH DE number 3885030 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• On sums of conditionally independent subexponential random variables
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Subexponentiality of the product of independent random variables
• The finite-time ruin probability for ND claims with constant interest force
• The finite-time ruin probability of the compound Poisson model with constant interest force
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims

Cited in

(1)

• scientific article; zbMATH DE number 6613566 (Why is no real title available?)

This page was built for publication: The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5079815)