The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

DOI10.1239/jap/1324046017zbMath1230.91069OpenAlexW2066505283MaRDI QIDQ3108473

Yiqing Chen

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1324046017

zbMATH Keywords

asymptoticssubexponential distributionFarlie-Gumbel-Morgenstern distributionfinite-time ruin probabilitymaximum domain of attraction

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (41)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times ⋮ Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ Subexponentiality of the product of dependent random variables ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Tail asymptotic of Weibull-type risks ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Interplay of subexponential and dependent insurance and financial risks ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Revisiting the product of random variables ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Asymptotic behaviour of ruin probabilities in a general discrete risk model using moment indices ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Extremes and products of multivariate AC-product risks ⋮ The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ 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 ⋮ A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims ⋮ 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 ⋮ Interplay of insurance and financial risks in a discrete-time model with strongly regular variation ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

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