Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

DOI10.1016/j.insmatheco.2016.09.003zbMath1371.91100OpenAlexW2523379710MaRDI QIDQ2374111

Jinzhu Li

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.003

zbMATH Keywords

asymptoticsruin probabilityLévy processdependencestochastic returnmultivariate regular variationmulti-dimensional risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

Related Items (9)

APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors

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