The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

DOI10.1007/S10114-010-7574-0MaRDI QIDQ606341zbMATH OpenOpenAlexFDO

Authors Xinmei Shen, Zhengyan Lin

Publication date 17 November 2010

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-010-7574-0

zbMATH Keywords

renewal processasymptotic estimatefinite-time ruin probabilityconsistent variationupper-tail independent

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

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• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Negative association of random variables, with applications
• Ruin estimates under interest force
• Ruin probabilities in the presence of heavy-tails and interest rates
• Some concepts of negative dependence
• Subexponentiality of the product of independent random variables
• The finite-time ruin probability of the compound Poisson model with constant interest force
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory

Cited in

(9)

• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
• Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes

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