The finite-time ruin probability for ND claims with constant interest force

DOI10.1016/J.SPL.2008.05.036MaRDI QIDQ956402zbMATH OpenOpenAlexFDO

Authors Gaofeng Zong, Fanchao Kong

Publication date 25 November 2008

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

Full work available at URL https://doi.org/10.1016/j.spl.2008.05.036

zbMATH Keywords

asymptotic formulafinite-time ruin probabilitynegatively dependent claimsnonstandard compound Poisson model

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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• 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

(14)

• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• A note on a dependent risk model with constant interest rate
• Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
• Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions

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