Asymptotics for a time-dependent by-claim model with dependent subexponential claims

DOI10.1016/J.INSMATHECO.2023.07.001MaRDI QIDQ6072271zbMATH OpenOpenAlexFDO

Authors Meng Yuan, Dawei Lu

Publication date 12 October 2023

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2023.07.001

zbMATH Keywords

asymptoticsby-claimdependencerenewal risk modelruin probabilitysubexponential distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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Cites work

• A Note on Cumulative Sums
• A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
• A property of the renewal counting process with application to the finite-time ruin probability
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims
• Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Asymptotics for ultimate ruin probability in a by-claim risk model
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Bivariate regular variation among randomly weighted sums in general insurance
• Expected present value of total dividends in a delayed claims risk model under stochastic interest rates
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Extremes on the discounted aggregate claims in a time dependent risk model
• Generalized linear models for dependent frequency and severity of insurance claims
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
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• On pairwise quasi-asymptotically independent random variables and their applications
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• On the expected discounted penalty function in a delayed-claims risk model
• On the probability of ruin in a continuous risk model with delayed claims
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Risk measures and multivariate extensions of Breiman's theorem
• Ruin probabilities allowing for delay in claims settlement
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• The compound binomial risk model with time-correlated claims
• The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Cited in

(5)

• On the analysis of time dependent claims in a class of birth process claim count models
• On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims
• Infinite-time ruin probability of a multivariate renewal risk model with Brownian perturbations
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)

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