Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

DOI10.3934/jimo.2017044zbMath1412.91059OpenAlexW2606984104MaRDI QIDQ1716939

Yang Yang, Jun-Feng Liu, Kam-Chuen Yuen

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017044

zbMATH Keywords

asymptoticsconsistent variationfinite-time and infinite-time ruin probabilitiesdominated variationlong tailLévy-driven risk model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Renewal theory (60K05)

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Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim, Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations, Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence, Asymptotics for a time-dependent by-claim 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, Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims, Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process, Uniform asymptotics for finite-time ruin probability of a bidimensional risk model, Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model, Asymptotics for ultimate ruin probability in a by-claim risk model, Asymptotic formulas for the left truncated moments of sums with consistently varying distributed increments

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