Infinite-time absolute ruin in dependent renewal risk models with constant force of interest

DOI10.1080/15326349.2016.1216798zbMath1359.62459OpenAlexW2527297114MaRDI QIDQ2976123

Jiajun Liu, Yang Yang

Publication date: 13 April 2017

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2016.1216798

zbMATH Keywords

asymptoticsdependenceFarlie-Gumbel-Morgenstern distributionrenewal risk modelabsolute ruib probabilityclass \(\mathcal{L}(\gamma)\)class \(\mathcal{S}(\gamma)\)class of O-subexponential distributionsclass of rapidly-varying-tailed distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (2)

Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ The absolute ruin insurance risk model with a threshold dividend strategy

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