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

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)

Cites Work

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Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
A note on a dependent risk model with constant interest rate
Precise large deviations of aggregate claims in a size-dependent renewal risk model
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
Subexponentiality of the product of independent random variables
The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
Randomly weighted sums of subexponential random variables with application to ruin theory
Ruin probabilities in the presence of heavy-tails and interest rates
Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
Uniform asymptotics for the finite-time ruin probability in a general risk model with pairwise quasi-asymptotically independent claims and constant interest force
Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables
Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
Asymptotic ruin probabilities in a generalized jump-diffusion risk model with constant force of interest
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 (7)

Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
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
Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals
Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate

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