Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest

DOI10.1016/J.CAM.2018.12.036zbMath1419.91363OpenAlexW2906889608WikidataQ128657470 ScholiaQ128657470MaRDI QIDQ2423508

Qingwu Gao, Jun Zhuang, Zhongquan Huang

Publication date: 20 June 2019

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.2018.12.036

zbMATH Keywords

diffusionruin probabilityuniform asymptoticsquasi-asymptotic independencedelayed claims

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Related Items (15)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Uniform asymptotics for the compound risk model with dependence structures and constant force of interest ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ 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 ⋮ Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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