On the ruin probabilities of a bidimensional perturbed risk model

DOI10.1016/J.INSMATHECO.2006.10.012zbMATH Open1119.91056OpenAlexW2117874214MaRDI QIDQ997098FDOQ997098

Authors: Junhai Li, Zaiming Liu, Qihe Tang

Publication date: 19 July 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.10.012

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Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest

martingale Poisson process diffusion Farlie-Gumbel-Morgenstern distribution ruin probability bidimensional risk model subexponentiality

Mathematics Subject Classification ID

Cites Work

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Cited In (68)

General methods for bounding multidimensional ruin probabilities in regime-switching models
The double-insurance risk model with perturbed dependence
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
Ruin probabilities for a multidimensional risk model with non-stationary arrivals and subexponential claims
Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
Ruin probabilities as functions of the roots of a polynomial
APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS
Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims
Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model
Recursive methods for a multi-dimensional risk process with common shocks
Bivariate regular variation among randomly weighted sums in general insurance
Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
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Title not available (Why is that?)
Two-dimensional ruin probability for subexponential claim size
Survival probabilities in bivariate risk models, with application to reinsurance
Bidimensional discrete-time risk models based on bivariate claim count time series
Ruin probabilities of a bidimensional risk model with investment
Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
Ruin probabilities for risk processes in a bipartite network
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation
Tail asymptotics for Pollaczek-Khinchin type series with applications to ruin in perturbed model
Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments
Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
The ruin probabilities of a multidimensional perturbed risk model
A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
Precise large deviation for the difference of two sums of random variables
Asymptotic ruin probabilities for a bidimensional renewal risk model
The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
On joint ruin probabilities of a two-dimensional risk model with constant interest rate
Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Continuity inequalities for multidimensional renewal risk models
Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims
The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
On the ruin probabilities for a general perturbed renewal risk process
Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
A Markov Risk Model with Two Classes of Insurance Business
Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
A \(2\times 2\) random switching model and its dual risk model
Ruin probabilities of a bidimensional risk model with a constant interest rate
Asymptotics for a bidimensional risk model with two geometric Lévy price processes
Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
Uniform bounds for ruin probability in multidimensional risk model
Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
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A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
A two-dimensional risk model with proportional reinsurance
Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
Ruin probabilities in multivariate risk models with periodic common shock
Strong stability in a two-dimensional classical risk model with independent claims
Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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