Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions

DOI10.1134/S1995080223110057MaRDI QIDQ6544208zbMATH OpenFDO

Authors Abouzar Bazyari

Publication date 27 May 2024

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1995080223110057

zbMATH Keywords

Boole's inequalityFarlie-Gumbel-Morgenstern copulaheavy-tailed distributionrenewal risk modelruin probability

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

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Cited in

(2)

• On an insurance ruin model with a causal dependence structure and perturbation
• Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function

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