Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims

DOI10.1007/s10986-012-9159-3zbMath1292.91098OpenAlexW2001539715MaRDI QIDQ392997

Yang Yang, Kai Yong Wang

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-012-9159-3

zbMATH Keywords

uniform asymptoticsdependencedominatedly varying tailfinite-time and infinite-time ruin probabilitieslong tail

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory of statistical distributions (62E10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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