The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

DOI10.1239/JAP/1324046017MaRDI QIDQ3108473zbMATH OpenOpenAlexFDO

Authors Yiqing Chen

Publication date 4 January 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1324046017

zbMATH Keywords

asymptoticsFarlie-Gumbel-Morgenstern distributionfinite-time ruin probabilitymaximum domain of attractionsubexponential distribution

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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Cited in

(50)

• Asymptotics of convolution with the semi-regular-variation tail and its application to risk
• Interplay of subexponential and dependent insurance and financial risks
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• Risk- and value-based management for non-life insurers under solvency constraints
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks
• Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory
• Interplay of financial and insurance risks in dependent discrete-time risk models
• Ruin with insurance and financial risks following the least risky FGM dependence structure
• Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• Extremes and products of multivariate AC-product risks
• Finite time ruin probabilities for tempered stable insurance risk processes
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
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• Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks
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• Ruin probabilities with insurance and financial risks having an FGM dependence structure
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• A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
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• Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks
• A Breiman's theorem for a conditional dependent random vector and its applications to risk theory
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices
• Tail behavior of the product of two dependent random variables with applications to risk theory

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