Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims

DOI10.1016/J.SPL.2009.09.023MaRDI QIDQ844862zbMATH OpenOpenAlexFDO

Authors Yang Yang, Yuebao Wang

Publication date 5 February 2010

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

Full work available at URL https://doi.org/10.1016/j.spl.2009.09.023

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• A note on a dependent risk model with constant interest rate
• Uniform asymptotics for finite-time ruin probability in some dependent compound risk models with constant interest rate

Cites work

• scientific article; zbMATH DE number 3738722 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 3798860 (Why is no real title available?)
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Large deviations for random variables with two-sided distributions
• Negative association of random variables, with applications
• Notes on the asymptotics of tail probabilities of sums for negatively associated random variables with heavy tails
• Precise large deviations for sums of negatively associated random variables with common dominatedly varying tails
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin under interest force and subexponential claims: a simple treatment.
• Some Concepts of Dependence
• Some concepts of negative dependence
• The finite-time ruin probability of the compound Poisson model with constant interest force
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

Cited in

(42)

• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
• Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
• Tail behavior of supremum of a random walk when Cramér's condition fails
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Complete convergence for randomly weighted sums of random variables and its application in linear-time-invariant systems
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
• A note on a dependent risk model with constant interest rate
• Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
• Insensitivity to negative dependence of the finite time ruin probability for renewal models with constant interest force
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Asymptotics for the finite-time ruin probability of a risk model with a general counting process
• Approximation for the finite-time ruin probability of a general risk model with constant interest rate and extended negatively dependent heavy-tailed claims
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Asymptotic ruin probabilities for proportional investment under interest force with dominatedly-varying-tailed claims
• Estimates and numerical simulations for the finite-time ruin probability in an extended negatively dependent general risk model
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Precise large deviations for dependent random variables with applications to the compound renewal risk model
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Generalized moments of sums with heavy-tailed random summands
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• The limit property of a risk model based on entrance processes
• Tails of higher-order moments with dominatedly varying summands
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
• Ruin probabilities of a bidimensional risk model with investment

This page was built for publication: Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q844862)