Asymptotic Behavior of Random Time Ruin Probability Under Heavy-Tailed Claim Sizes and Dependence Structure

DOI10.1080/03610926.2010.549992zbMath1271.62243OpenAlexW2119584480MaRDI QIDQ2920000

Lixin Song, Xiaodong Bai

Publication date: 23 October 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2010.549992

zbMATH Keywords

asymptoticssubexponential distributionsrenewal risk modelrandom time ruin probability

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (6)

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model ⋮ Uniform asymptotics for random time ruin probability with subexponential claims and constant interest rate ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

Cites Work

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• An Introduction to Heavy-Tailed and Subexponential Distributions
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• On a risk model with dependence between interclaim arrivals and claim sizes
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Exponential Behavior in the Presence of Dependence in Risk Theory
• A Note on Cumulative Sums

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