The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims
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Publication:606341
DOI10.1007/s10114-010-7574-0zbMath1201.91096MaRDI QIDQ606341
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
asymptotic estimate; renewal process; finite-time ruin probability; consistent variation; upper-tail independent
60G70: Extreme value theory; extremal stochastic processes
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
Related Items
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, Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory, Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
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