Ruin probability and local ruin probability in the random multi-delayed renewal risk model

DOI10.1016/j.spl.2008.10.001zbMath1156.62362OpenAlexW2043193626MaRDI QIDQ1007342

Qingwu Gao, Yue-bao Wang

Publication date: 20 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.001

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Asymptotics for the moments of the overshoot and undershoot of a random walk ⋮ Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims ⋮ Random walks with non-convolution equivalent increments and their applications ⋮ Some discussions on the local distribution classes ⋮ Estimates for the overshoot of a random walk with negative drift and non-convolution equivalent increments ⋮ Randomly weighted sums of dependent subexponential random variables ⋮ Local asymptotics of a Markov modulated random walk with heavy-tailed increments ⋮ Ruin probabilities of a bidimensional risk model with investment ⋮ The closure of the convolution equivalent distribution class under convolution roots with applications to random sums ⋮ The Uniform Local Asymptotics of the Overshoot of a Random Walk with Heavy-Tailed Increments

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