Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
From MaRDI portal
Publication:2244583
DOI10.1016/J.SPL.2021.109174zbMath1473.62351OpenAlexW3171574731MaRDI QIDQ2244583
Yang Liu, Zhen Long Chen, Ke Ang Fu
Publication date: 12 November 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2021.109174
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)
Related Items (4)
Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ On asymptotic ruin probability for a bidimensional renewal risk model with dependent and subexponential main claims and delayed claims ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Randomly weighted sums of subexponential random variables with application to capital allocation
- The compound binomial risk model with time-correlated claims
- Ruin probabilities allowing for delay in claims settlement
- Ruin probabilities for time-correlated claims in the compound binomial model.
- A Kesten-type bound for sums of randomly weighted subexponential random variables
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
- Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- On pairwise quasi-asymptotically independent random variables and their applications
- Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
- Extremes on the discounted aggregate claims in a time dependent risk model
- An Introduction to Heavy-Tailed and Subexponential Distributions
- On Ultimate Ruin in a Delayed-Claims Risk Model
- Exponential Behavior in the Presence of Dependence in Risk Theory
- A Note on Cumulative Sums
This page was built for publication: Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
