The finite time ruin probability of a new risk model based on entrance process

DOI10.1080/03610926.2011.581783MaRDI QIDQ5299078zbMATH OpenOpenAlexFDO

Authors Hongmin Xiao, Zehui Li, Weiwei Liu

Publication date 25 June 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.581783

zbMATH Keywords

ruin probabilitysubexponential distributionsnon homogeneous Poisson processinsurance risk processlong-tailed and light-tailed distributions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• A new risk model based on policy entrance process and its weak convergence properties
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• New exact traveling wave solutions for the Klein-Gordon-Zakharov equations
• Ruin probabilities in the presence of heavy-tails and interest rates
• Study of a risk model based on the entrance process
• Subexponentiality of the product of independent random variables
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Two-Sided Bounds for the Finite Time Probability of Ruin

Cited in

(9)

• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• The limit property of a risk model based on entrance processes
• scientific article; zbMATH DE number 6907613 (Why is no real title available?)
• scientific article; zbMATH DE number 7266958 (Why is no real title available?)
• The limit behavior of a risk model based on entrance processes
• Ruin probability of a class of entrance processes based insurance risk models
• Study of a risk model based on the entrance process
• Properties of ruin probability for a risk model based on the policy entrance process under heavily-tailed claims
• Upper Bounds for the Ruin Probabilities of the Entrance-Based Risk Model

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