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

bidimensional renewal risk modelfinite-time ruin probabilitiesheavy-tailed distributionsuniform asymptotics

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

• A property of the renewal counting process with application to the finite-time ruin probability
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• 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
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• 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
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• 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

(32)

• Continuity inequalities for multidimensional renewal risk models
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying 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
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• 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 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
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• 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
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Background risk model in presence of heavy tails under dependence
• Asymptotics for a perturbed bidimensional delay-claim risk model with heavy-tailed claims and stochastic returns
• Uniform asymptotic estimates in a bidimensional time-dependent risk model with proportional reinsurance and general investment returns
• Asymptotics for the sum-ruin probability of a bi-dimensional compound risk model with dependent numbers of claims
• Asymptotic estimates for ruin probabilities in a bidimensional delay-claim risk model with subexponential claims
• Asymptotic finite-time ruin probability for a bidimensional perturbed risk model with general investment returns and time-dependent claim sizes
• Uniform asymptotic estimate for the finite-time ruin probability in a risk model with stochastic investment returns
• Asymptotics for a bidimensional delay-claim risk model with subexponential claims and arbitrary dependence between the generic inter-arrival time pair
• Infinite-time ruin probability of a multivariate renewal risk model with Brownian perturbations
• Random vectors in the presence of a single big jump
• Uniform asymptotics for a multidimensional renewal risk model with multivariate subexponential claims

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