Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

DOI10.1016/J.INSMATHECO.2016.04.003zbMath1369.91089OpenAlexW2338880407MaRDI QIDQ343963

Dimitrios G. Konstantinides, Jinzhu Li

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.003

zbMATH Keywords

asymptoticsruin probabilitydependencemultidimensional renewal risk modelmultivariate regular variation

Mathematics Subject Classification ID

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 (16)

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Two-dimensional ruin probability for subexponential claim size ⋮ A \(2\times 2\) random switching model and its dual risk model

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