Asymptotics of discounted aggregate claims for renewal risk model with risky investment
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Publication:550048
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- 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
Cites work
- scientific article; zbMATH DE number 1221798 (Why is no real title available?)
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- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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- A local limit theorem for random walk maxima with heavy tails
- 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
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- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Large deviations for sums of independent random variables with dominatingly varying tails
- On the probability of ruin in the presence of a linear dividend barrier
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Ruin probabilities in the presence of heavy-tails and interest rates
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- Subexponentiality of the product of independent random variables
- The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- The finite-time ruin probability for the jump-diffusion model with constant interest force
- The finite-time ruin probability of the compound Poisson model with constant interest force
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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
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