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

DOI10.1080/17442508.2018.1539088MaRDI QIDQ5087017zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A property of the renewal counting process with application to the finite-time ruin probability
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model
• 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
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Subexponentiality of the product of independent random variables
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
• Uniform asymptotics of the finite-time ruin probability for all times

Cited in

(21)

• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• 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
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• 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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