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

DOI10.1007/s11424-009-9173-7zbMath1186.91124OpenAlexW1982134919MaRDI QIDQ967985

Jingzhi Li, Yue-bao Wang, Kai Yong 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

zbMATH Keywords

ruin probabilityheavy tailrenewal modelnegatively lower orthant dependentnegatively quadrant dependent

Mathematics Subject Classification ID

Related Items (16)

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 ⋮ Uniform asymptotics for a non standard renewal risk model with CLWD heavy-tailed claims ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ 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 ⋮ 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 ⋮ Asymptotics for ruin probabilities of two kinds of dependent risk models with NLOD inter-arrival times ⋮ 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 ⋮ Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model ⋮ Randomly weighted sums with dominated varying-tailed increments and application to risk theory ⋮ 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

Cites Work

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• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
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• The structure and precise moderate deviations of random variables with dominatedly varying tails
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• 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
• Some Concepts of Dependence

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