Uniform asymptotics for the compound risk model with dependence structures and constant force of interest

DOI10.1080/17442508.2021.1915316MaRDI QIDQ5086902zbMATH OpenOpenAlexFDO

Authors Xijun Liu, Qingwu Gao

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2021.1915316

zbMATH Keywords

ruin probabilityuniform asymptoticscompound risk modelupper tail asymptotic independencediscounted aggregate claims

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
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• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
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• Ruin probabilities in the presence of heavy-tails and interest rates
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• Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
• Uniform asymptotics for the finite-time ruin probability in a general risk model with pairwise quasi-asymptotically independent claims and constant interest force
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
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• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims

Cited in

(10)

• Asymptotic tail probability for the discounted aggregate sums in a time dependent renewal risk model
• Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
• Stochastic compounding models for continuous uniform cash flows arising in risk management
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
• Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model
• Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims

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