Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail

DOI10.1016/j.spl.2013.03.029zbMath1279.91099OpenAlexW1992925416MaRDI QIDQ383966

Yi Zhang, Xin Mei Shen

Publication date: 6 December 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.03.029

zbMATH Keywords

ruin probabilitytwo-dimensional modelextended regular variation distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50)

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Cites Work

• Unnamed Item
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• Approximation of the tail probability of randomly weighted sums and applications
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• Dependence properties and bounds for ruin probabilities in multivariate compound risk models
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Multivariate risk model of phase type
• Heavy-Tail Phenomena