Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
From MaRDI portal
Publication:2240667
DOI10.1007/s10255-021-1050-8zbMath1476.91134OpenAlexW3206795844MaRDI QIDQ2240667
Yang Yang, Kam-Chuen Yuen, Jun-Feng Liu
Publication date: 4 November 2021
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-021-1050-8
uniformityfinite-time ruin probabilitydominated variationupper tail asymptotic independencestochastic log-return process on investments
Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)
Related Items
Cites Work
- Unnamed Item
- Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
- A note on a dependent risk model with constant interest rate
- Asymptotics in a time-dependent renewal risk model with stochastic return
- Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
- Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
- A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
- Asymptotic tail probabilities of sums of dependent subexponential random variables
- Some concepts of negative dependence
- Ruin probabilities in the presence of regularly varying tails and optimal investment.
- The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
- Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
- Power tailed ruin probabilities in the presence of risky investments.
- Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
- Negative association of random variables, with applications
- On Cramér-like asymptotics for risk processes with stochastic return on investments
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- Precise large deviations of aggregate claims in a size-dependent renewal risk model
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
- Ruin theory with stochastic return on investments
- Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
- Asymptotics for ultimate ruin probability in a by-claim risk model
- Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
- Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
- Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
- Some Concepts of Dependence
