scientific article; zbMATH DE number 7708735

DOI10.3770/J.ISSN:2095-2651.2023.03.008MaRDI QIDQ6167149zbMATH OpenFDO

Authors Kaiyong Wang, Yang Yang, Kam Chuen Yuen

Publication date 7 July 2023

Full work available at URL https://doi.org/10.3770/J.ISSN:2095-2651.2023.03.008

zbMATH Keywords

dependent shockheavy-tailed distributionPoisson shot noise processuniform asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Some Concepts of Dependence
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• Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
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• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

Cited in

(1)

• Sample path large deviations for the multiplicative Poisson shot noise process with compensation

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