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

DOI10.1016/j.spl.2009.09.023zbMath1180.62154OpenAlexW2094114248MaRDI QIDQ844862

Yang Yang, Yue-bao 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

Related Items (34)

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

Cites Work

• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Precise large deviations for sums of negatively associated random variables with common dominatedly varying tails
• Some concepts of negative dependence
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Negative association of random variables, with applications
• Randomly weighted sums of subexponential random variables with application to ruin theory
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Ruin probabilities in the presence of heavy-tails and interest rates
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Some Concepts of Dependence
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