Asymptotics for a bidimensional risk model with two geometric Lévy price processes

DOI10.3934/JIMO.2018053zbMath1438.91119OpenAlexW2802842333MaRDI QIDQ2313745

Jiajun Liu, Yang Yang, Zhimin Zhang, Kai Yong Wang

Publication date: 23 July 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.2018053

zbMATH Keywords

asymptoticsdependencebidimensional risk modeldominatedly varying tailconsistently varying taillong tailgeometric Lévy price processinfinite-time and finite-time ruin probabilities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Renewal theory (60K05) Actuarial mathematics (91G05)

Related Items (26)

RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ 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 ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims ⋮ Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ 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 ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ Probability inequalities for sums of WUOD random variables and their applications ⋮ Precise large deviations for the aggregate claims in a dependent compound renewal risk model ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ 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 ⋮ A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations ⋮ A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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