On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims

DOI10.1016/J.SPL.2019.01.037zbMath1427.62125OpenAlexW2916927255WikidataQ128344092 ScholiaQ128344092MaRDI QIDQ2322588

Jinzhu Li, Hai-Zhong Yang

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.01.037

zbMATH Keywords

asymptoticsruin probabilityrenewal risk modeldelayed claimsubexponential class

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Related Items (9)

A Kesten-type inequality for randomly weighted sums of dependent subexponential random variables with applications to risk theory* ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ Asymptotics for a time-dependent 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 ⋮ 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

Uses Software

• QRM

Cites Work

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