Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model

DOI10.1080/03610926.2014.955117zbMath1358.62082OpenAlexW2476198423MaRDI QIDQ2830192

Qingwu Gao, Xijun Liu, Ermin Guo

Publication date: 9 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.955117

zbMATH Keywords

insuranceruin probabilityuniform asymptoticsdependencetwo-dimensional risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory, RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS, Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times, Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals, Uniform asymptotics for the compound risk model with dependence structures and constant force of interest, Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables

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