Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance

DOI10.1007/S11425-022-2030-5OpenAlexW4386195567MaRDI QIDQ6139327FDOQ6139327

Authors: Yang Yang, Shaoying Chen, Kam Chuen Yuen 

Publication date: 18 January 2024

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-022-2030-5

zbMATH Keywords

dependenceheavy-tailed distributionrandomly weighted suminsurance risk modelasymptotic joint tail behavior

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• An introduction to copulas.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Ruin problems with assets and liabilities of diffusion type
• Randomly weighted sums of subexponential random variables with application to capital allocation
• An Introduction to Heavy-Tailed and Subexponential Distributions
• A Note on Cumulative Sums
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• On the ruin probabilities of a bidimensional perturbed risk model
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Tail behavior of randomly weighted sums
• Moving averages with random coefficients and random coefficient autoregressive models
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Approximation of the tail probability of randomly weighted sums and applications
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Title not available (Why is that?)
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
• Random difference equations with subexponential innovations
• Dominated variation and related concepts and Tauberian theorems for Laplace transforms
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• Heavy tails and copulas: limits of diversification revisited
• Interplay of subexponential and dependent insurance and financial risks
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Bivariate regular variation among randomly weighted sums in general insurance
• APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS

Cited In (1)

• Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses

This page was built for publication: Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6139327)