Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications

DOI10.1007/s10986-009-9053-9zbMath1180.91170OpenAlexW2040082693MaRDI QIDQ1033579

Yue-bao Wang, Remigijus Leipus, Yang Yang, Jonas Šiaulys

Publication date: 6 November 2009

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-009-9053-9

zbMATH Keywords

negative dependencefinite-time ruin probabilitydominated variationdependent compound renewal risk modelmaximum domain of attraction of the Gumbel distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (13)

Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Precise large deviations for dependent random variables with applications to the compound renewal risk model ⋮ Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest ⋮ Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails ⋮ Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model ⋮ The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims ⋮ Tail probability of a random sum with a heavy-tailed random number and dependent summands ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ A note on the tail behavior of randomly weighted and stopped dependent sums ⋮ Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails ⋮ Asymptotics for Tail Probability of Random Sums with a Heavy-Tailed Number and Dependent Increments ⋮ Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

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