A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

DOI10.1016/J.SPL.2018.04.003zbMath1457.62333OpenAlexW2586618687WikidataQ129931485 ScholiaQ129931485MaRDI QIDQ1644178

Jinzhu Li

Publication date: 21 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.spl.2018.04.003

zbMATH Keywords

asymptoticsextended regular variationruin probabilitydependencesubexponential classbidimensional renewal risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Related Items (13)

RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS ⋮ An asymptotic study of systemic expected shortfall and marginal expected shortfall ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ On the joint tail behavior of randomly weighted sums of heavy-tailed random variables ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Uniform approximation for the tail behavior of bidimensional randomly weighted sums ⋮ 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 ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

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