Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

DOI10.1016/j.jmaa.2011.05.013zbMath1229.91169OpenAlexW2089290138MaRDI QIDQ549849

Remigijus Leipus, Yuquan Cang, Jonas Šiaulys, Yang Yang

Publication date: 18 July 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.05.013

zbMATH Keywords

negative dependenceFinite-time ruin probabilitystrongly subexponential distribution

Mathematics Subject Classification ID

Related Items (16)

Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process ⋮ On the non-closure under convolution for strong subexponential distributions ⋮ Second order asymptotics for infinite-time ruin probability in a compound renewal risk model ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim ⋮ Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model ⋮ Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model ⋮ Uniform asymptotics of the finite-time ruin probability for all times ⋮ Strong convergence for weighted sums of widely orthant dependent random variables and applications ⋮ Unnamed Item ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Strong laws for weighted sums of \(m\)-extended negatively dependent random variables and its applications ⋮ Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Precise large deviations for aggregate claims ⋮ A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Large-deviation probabilities for maxima of sums of subexponential random variables with application to finite-time ruin probabilities
• A property of the renewal counting process with application to the finite-time ruin probability
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Some concepts of negative dependence
• A note on the almost sure convergence of sums of negatively dependent random variables
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Negative association of random variables, with applications
• Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times
• The Strong Law of Large Numbers for Extended Negatively Dependent Random Variables
• Asymptotic behaviour of the finite-time ruin probability in renewal risk models
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Approximations for the probability of ruin within finite time
• Ruin probabilities expressed in terms of ladder height distributions
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Saddlepoint approximations for the probability of ruin in finite time
• Some Concepts of Dependence
• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift

This page was built for publication: Uniform estimates for the finite-time ruin probability in the dependent renewal risk model