The limit property of a risk model based on entrance processes

DOI10.1080/03610918.2019.1659969MaRDI QIDQ5082864zbMATH OpenOpenAlexWikidataFDO

Authors Lin Xie, Hongmin Xiao, Yan He

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1659969

zbMATH Keywords

asymptoticsrisky investmentquasi-asymptotically independentinsurance risk process

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On pairwise quasi-asymptotically independent random variables and their applications
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Ruin probability of the renewal model with risky investment and large claims
• Study of a risk model based on the entrance process
• Subexponentiality of the product of independent random variables
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• The finite time ruin probability of a new risk model based on entrance process
• The limit behavior of a risk model based on entrance processes
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate

Cited in

(2)

• The limit behavior of a risk model based on entrance processes
• Study of a risk model based on the entrance process

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