Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims

DOI10.1016/J.JKSS.2011.06.003zbMATH Open1296.91147OpenAlexW1986559586MaRDI QIDQ744743FDOQ744743

Authors: Yu Chen, Yin Huang, Weiping Zhang 

Publication date: 26 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.06.003

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• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims

zbMATH Keywords

ruin probabilitiesdominatedly varyinginterest forcequasi-asymptotically independent

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited In (8)

• A new immunization inequality for random streams of assets, liabilities and interest rates
• The limit property of a risk model based on entrance processes
• Asymptotic ruin probabilities of a risk model with double investment strategies
• A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
• Asymptotic ruin probabilities for proportional investment under interest force of a risk model based on entrance process with dominatedly-varying-tailed claims
• Asymptotic ruin probabilities for proportional investment under interest force with regularly-varying-tailed and independent claims
• Asymptotic ruin probabilities with delayed-claims risk model under proportional investment
• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims

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