A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

DOI10.1016/J.INSMATHECO.2017.01.005zbMath1422.91335OpenAlexW2583349318MaRDI QIDQ1681191

Zhongyi Yuan, Yiqing Chen

Publication date: 23 November 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.01.005

zbMATH Keywords

asymptoticsregular variationheavy-tailed distributionsruin probabilitytail dependenceinsurance and financial risks

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (7)

Interplay of subexponential and dependent insurance and financial risks ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

Uses Software

• QRM

Cites Work

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