Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails

DOI10.1155/2020/9489612MaRDI QIDQ6534696zbMATH OpenFDO

Authors Xinmei Shen, Meng Yuan, Dawei Lu

Publication date 14 May 2021

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Risk models (general) (91B05)

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Cites work

• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Bivariate regular variation among randomly weighted sums in general insurance
• Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
• Functional large deviations for multivariate regularly varying random walks
• Heavy-Tail Phenomena
• Hitting probabilities and large deviations
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Multirisks model and finite-time ruin probabilities
• Multivariate risk models under heavy-tailed risks
• On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
• On regular variation for infinitely divisible random vectors and additive processes
• Social optimal mean field control problem for population growth model
• The absolute ruin insurance risk model with a threshold dividend strategy
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• Valuing equity-linked death benefits in general exponential Lévy models

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