Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model

DOI10.1155/2012/936525zbMath1282.91151DBLPjournals/jamds/GaoJZ12OpenAlexW1963540905WikidataQ58697866 ScholiaQ58697866MaRDI QIDQ1929911

Juan Zheng, Qingwu Gao, Na Jin

Publication date: 10 January 2013

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/065a8a2ad64dea995807d0bf899d1e93cd52b283

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Uniform asymptotics of the finite-time ruin probability for all times
• Precise large deviations of random sums in presence of negative dependence and consistent variation
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
• Tail asymptotics for the supremum of a random walk when the mean is not finite
• Tail behavior of random sums of negatively associated increments
• Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
• Basic renewal theorems for random walks with widely dependent increments
• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• Modeling teletraffic arrivals by a Poisson cluster process
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
• Precise large deviations for dependent random variables with heavy tails
• Some concepts of negative dependence
• A note on the almost sure convergence of sums of negatively dependent random variables
• Subexponentiality of the product of independent random variables
• Negative association of random variables, with applications
• Approximation of the tail probability of dependent random sums under consistent variation and applications
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• One-sided analogues of Karamata's regular variation
• Large-Deviation Probabilities for Maxima of Sums of Independent Random Variables with Negative Mean and Subexponential Distribution
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Subexponential distributions and integrated tails
• Intermediate Regular and Π Variation
• Large deviations for heavy-tailed random sums in compound renewal model

This page was built for publication: Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model