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

DOI10.1007/S10114-010-7574-0zbMATH Open1201.91096OpenAlexW2053743357MaRDI QIDQ606341FDOQ606341

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

Recommendations

• scientific article; zbMATH DE number 1931594
• Ruin probabilities for large claims in delayed renewal risk model
• Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims
• The ruin probability for a delayed-claims risk model with constant interest force under heavy-tailed claims
• scientific article; zbMATH DE number 1833162

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)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Comparison methods for stochastic models and risks
• Some concepts of negative dependence
• Negative association of random variables, with applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Subexponentiality of the product of independent random variables
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• 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
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Ruin estimates under interest force
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments

Cited In (9)

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

This page was built for publication: The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q606341)