Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims

DOI10.3934/JIMO.2022112OpenAlexW4285154815MaRDI QIDQ2691358

Jinzhu Li

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022112

zbMATH Keywords

asymptoticsextended regular variationruin probabilityrenewal risk modelsubexponentialitydelayed claim

Mathematics Subject Classification ID

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

Related Items (1)

Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• 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
• The compound binomial risk model with time-correlated claims
• Approximation of the tail probability of randomly weighted sums and applications
• Ruin probabilities allowing for delay in claims settlement
• Subexponentiality of the product of independent random variables
• Ruin probabilities for time-correlated claims in the compound binomial model.
• On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest
• On pairwise quasi-asymptotically independent random variables and their applications
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation

This page was built for publication: Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims