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

DOI10.1016/J.SPL.2008.05.036zbMATH Open1319.62206OpenAlexW1975287453MaRDI QIDQ956402FDOQ956402

Fanchao Kong, Gaofeng Zong

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

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

Cites Work

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Cited In (14)

• The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims
• Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate
• Title not available (Why is that?)
• A note on a dependent risk model with constant interest rate
• Tail behavior of the sums of dependent and heavy-tailed random variables
• Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest
• Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims
• 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
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications

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