Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times

DOI10.1007/S11424-011-8107-3MaRDI QIDQ646758zbMATH OpenOpenAlexFDO

Authors Yang Yang, Xijun Liu, Yuebao Wang

Publication date 17 November 2011

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-011-8107-3

zbMATH Keywords

ruin probabilitymodulated processnegatively lower orthant dependentnegatively upper orthant dependent

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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Cites work

• scientific article; zbMATH DE number 3662269 (Why is no real title available?)
• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• A note on the almost sure convergence of sums of negatively dependent random variables
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Characterizations on heavy-tailed distributions by means of hazard rate.
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• Random time ruin probability for the renewal risk model with heavy-tailed claims
• Some concepts of negative dependence
• Subexponential distributions and integrated tails
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• The supremum of random walk with negatively associated and heavy-tailed steps

Cited in

(2)

• Asymptotic ruin probabilities for risk processes with dependent increments.
• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications

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