ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
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Publication:5291231
DOI10.1017/S0269964806060062zbMath1136.91490MaRDI QIDQ5291231
Publication date: 9 May 2006
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables, Estimates for the finite-time ruin probability with insurance and financial risks, The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables, The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks, The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance
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- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
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