scientific article; zbMATH DE number 7266415

DOI10.13299/J.CNKI.AMJCU.002104MaRDI QIDQ5129398zbMATH OpenFDO

Authors Fengqin Tang, Wenwen Ding

Publication date 27 October 2020

Full work available at URL https://doi.org/10.13299/J.CNKI.AMJCU.002104

zbMATH Keywords

compound renewal risk modelprecise large deviationruin probabilitytime dependentwidely orthant dependent

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Precise large deviations of a claim process in a time-dependent compound renewal risk model
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Asymptotic estimates of ruin probabilities for a time-dependent renewal risk model with dominatedly-varying-tailed and dependent claims
• Large deviations of aggregate amount of claims in compound risk model with arbitrary dependence between claim sizes and waiting times
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims

Cited in

(1)

• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

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