Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times

DOI10.1007/S11424-009-9173-7zbMATH Open1186.91124OpenAlexW1982134919MaRDI QIDQ967985FDOQ967985

Authors: Jingzhi Li, Kaiyong Wang, Yuebao Wang 

Publication date: 3 May 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-009-9173-7

Recommendations

• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
• Insensitivity to negative dependence of the finite time ruin probability for renewal models with constant interest force

zbMATH Keywords

ruin probabilityheavy tailrenewal modelnegatively lower orthant dependentnegatively quadrant dependent

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites Work

• Some Concepts of Dependence
• Title not available (Why is that?)
• Some concepts of negative dependence
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Subexponentiality of the product of independent random variables
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• The finite-time ruin probability of the compound Poisson model with constant interest force
• 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.
• Ruin under interest force and subexponential claims: a simple treatment.
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• The structure and precise moderate deviations of random variables with dominatedly varying tails

Cited In (17)

• 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
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Asymptotics for the finite-time ruin probability of a risk model with a general counting process
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• 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
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims
• Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
• Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest

This page was built for publication: Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q967985)