Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

DOI10.1016/j.cam.2017.02.004zbMath1364.91072OpenAlexW2591799037MaRDI QIDQ2357425

Yanyan Li

Publication date: 13 June 2017

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.2017.02.004

zbMATH Keywords

ruin probabilitydominated variationcrude Monte Carlo simulationdiscrete-time risk model with insurance and financial riskspairwise asymptotical independence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (8)

Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

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