Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

DOI10.1080/17442508.2018.1539088zbMATH Open1493.62580OpenAlexW2901314747MaRDI QIDQ5087017FDOQ5087017

Authors: Dongya Cheng, Changjun Yu 

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1539088

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zbMATH Keywords

uniform asymptoticsheavy-tailed distributionsfinite-time ruin probabilitiesbidimensional renewal risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Cites Work

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• Uniform asymptotics of the finite-time ruin probability for all times
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• A property of the renewal counting process with application to the finite-time ruin probability
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Subexponentiality of the product of independent random variables
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model

Cited In (21)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Continuity inequalities for multidimensional renewal risk models
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims

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