The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims

DOI10.1080/03610926.2015.1030428zbMath1360.62502OpenAlexW2325055251MaRDI QIDQ2979971

Jinzhu Li

Publication date: 27 April 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2015.1030428

zbMATH Keywords

asymptoticsextended regular variationruin probabilitybidimensional renewal risk modelFrlie-Gumbel-Morgenstern distribution

Mathematics Subject Classification ID

Related Items (10)

APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times ⋮ Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

Cites Work

• Ruin probabilities of a bidimensional risk model with investment
• On the ruin probabilities of a bidimensional perturbed risk model
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• The impact on ruin probabilities of the association structure among financial risks
• Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
• On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

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