Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns

DOI10.1186/S13660-018-1913-6zbMATH Open1498.62189OpenAlexW2901652583WikidataQ59796007 ScholiaQ59796007MaRDI QIDQ824890FDOQ824890

Authors: Yinghua Dong, Dingcheng Wang 

Publication date: 15 December 2021

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

Full work available at URL: https://doi.org/10.1186/s13660-018-1913-6

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zbMATH Keywords

ruin probabilitiesstochastic returnstwo-dimensional risk modeldominated-variation distributionsuniform asymptotic formulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sums of independent random variables; random walks (60G50) Risk models (general) (91B05)

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Cited In (4)

• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• The perturbed compound Poisson risk model with proportional investment
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models

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