Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

DOI10.1016/J.JMAA.2012.08.060zbMATH Open1261.91023OpenAlexW1984243140MaRDI QIDQ691839FDOQ691839

Authors: Yang Yang, Jie Liu, Kaiyong Wang 

Publication date: 4 December 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.08.060

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zbMATH Keywords

random sumcompound renewal risk modelwidely orthant dependencefinite-time and infinite-time absolute ruin probabilitiesmaximum domain of attraction of the Gumbel distribution

Mathematics Subject Classification ID

Cites Work

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Cited In (9)

• Probability inequalities for sums of WUOD random variables and their applications
• The absolute ruin insurance risk model with a threshold dividend strategy
• Uniform asymptotics for ruin probabilities in a nonstandard compound renewal risk model
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model
• The finite-time ruin probability in a dependent random premium rates risk model
• Investigation a dependent generalized compound renewal risk process involving the uniformly bounded copula function
• Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate
• Asymptotics for the infinite-time absolute ruin probabilities in time-dependent renewal risk models

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