Ruin probabilities in a discrete time risk model with dependent risks of heavy tail

DOI10.1080/03461230802312487zbMath1224.91093OpenAlexW2003679404MaRDI QIDQ3077737

Yi Zhang, Ken Seng Tan, Chengguo Weng

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230802312487

zbMATH Keywords

copularegular variationdistributionsruin probabilitydiscrete time risk modelnet lossindex of upper tail dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (17)

Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Some theorems on conditional mean convergence and conditional almost sure convergence for randomly weighted sums of dependent random variables ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Uniform estimate for the tail probabilities of randomly weighted sums ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ Approximation for the ruin probabilities in a discrete time risk model with dependent risks ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks ⋮ An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model

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