Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

DOI10.1016/j.cam.2015.03.020zbMath1314.91148OpenAlexW2033187903MaRDI QIDQ2346633

Zhimin Zhang, Tao Jiang, Yang Yang, Dong Ya Cheng

Publication date: 2 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.03.020

zbMATH Keywords

simulationuniformityruin probabilityLévy processdependencedominated variation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Renewal theory (60K05)

Related Items (4)

Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ 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 ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

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
• Asymptotics in a time-dependent renewal risk model with stochastic return
• On the renewal risk process with stochastic interest
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Subexponentiality of the product of independent random variables
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Distributions for the risk process with a stochastic return on investments.
• Power tailed ruin probabilities in the presence of risky investments.
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Risk theory in a stochastic economic environment
• Ruin probabilities and penalty functions with stochastic rates of interest
• Tail asymptotics for exponential functionals of Lévy processes
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities for a~risk process with stochastic return on investments.
• 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
• Characterization of tails through hazard rate and convolution closure properties
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin theory with stochastic return on investments
• Financial Modelling with Jump Processes
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

This page was built for publication: Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return