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

DOI10.1007/S11424-011-8107-3zbMATH Open1236.91088OpenAlexW2069712973MaRDI QIDQ646758FDOQ646758

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

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zbMATH Keywords

ruin probabilitymodulated processnegatively lower orthant dependentnegatively upper orthant dependent

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

• Title not available (Why is that?)
• Some concepts of negative dependence
• A note on the almost sure convergence of sums of negatively dependent random variables
• Subexponential distributions and integrated tails
• Title not available (Why is that?)
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Discrete and continuous time modulated random walks with heavy-tailed increments
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• 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
• Characterizations on heavy-tailed distributions by means of hazard rate.
• 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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