Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns

DOI10.1016/J.SPL.2023.110013MaRDI QIDQ6540872zbMATH OpenFDO

Authors Mingjun Li, Zhangting Chen, Dongya Cheng, Junyi Zhou

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

finite-time ruin probabilitystochastic returnarbitrary dependenceheavy-tailed claimbidimensional compound risk modelupper tail asymptotically independent claim

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
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• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Uniform asymptotics for the compound risk model with dependence structures and constant force of interest
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

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