Asymptotics of discounted aggregate claims for renewal risk model with risky investment

DOI10.1007/S11766-010-1938-1zbMATH Open1237.62153OpenAlexW2133634147MaRDI QIDQ550048FDOQ550048

Authors: Tao Jiang 

Publication date: 19 July 2011

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-010-1938-1

Recommendations

• Asymptotic results for renewal risk models with risky investments
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Asymptotic tail probability for the discounted aggregate sums in a time dependent renewal risk model
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• scientific article; zbMATH DE number 6613849
• Large deviations for the stochastic present value of aggregate claims in the renewal risk model
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

zbMATH Keywords

risky investmentruin probability within finite horizonsubexponential class

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Subexponentiality of the product of independent random variables
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Ruin probabilities in the presence of heavy-tails and interest rates
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• The finite-time ruin probability for the jump-diffusion model with constant interest force
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• A local limit theorem for random walk maxima with heavy tails
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Title not available (Why is that?)
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• On the probability of ruin in the presence of a linear dividend barrier
• Large deviations for sums of independent random variables with dominatingly varying tails
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (4)

• Transform approach for discounted aggregate claims in a risk model with descendant claims
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Asymptotic results for renewal risk models with risky investments

This page was built for publication: Asymptotics of discounted aggregate claims for renewal risk model with risky investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q550048)