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

DOI10.1155/2020/9489612zbMATH Open1544.91095MaRDI QIDQ6534696FDOQ6534696

Authors: Xinmei Shen, Meng Yuan, Dawei Lu 

Publication date: 14 May 2021

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

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Mathematics Subject Classification ID

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

Cites Work

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

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