Finite-time ruin probability of a compound risk model with dependent claim sizes

DOI10.12084/J.ISSN.2096-3289.2018.03.003MaRDI QIDQ5382017zbMATHFDO

Authors Lamei Chen, Miaomiao Gao, Shurong Chen, Kaiyong Wang

Publication date 21 June 2019

zbMATH Keywords

asymptoticsfinite-time ruin probabilityheavy-tailed distributioncompound risk modelwide dependence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(11)

• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
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• The compound binomial risk model with time-correlated claims
• Tail asymptotic of discrete-time risk model with compound dependence and numerical simulation
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
• scientific article; zbMATH DE number 5812605 (Why is no real title available?)
• The finite-time ruin probability in a dependent random premium rates risk model
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• Finite-time ruin probability of a compound dependent discrete-time risk model
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times

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