On the ruin probability in a dependent discrete time risk model with insurance and financial risks

DOI10.1016/j.cam.2012.02.030zbMath1237.91142OpenAlexW2037069249MaRDI QIDQ421837

Jonas Šiaulys, Remigijus Leipus, Yang Yang

Publication date: 14 May 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.02.030

zbMATH Keywords

asymptotic independencefinancial riskinsurance riskfinite-time ruin probabilityultimate ruin probabilityheavy tailed distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Large deviations (60F10)

Related Items (13)

Asymptotics for the partial sum and its maximum of dependent random variables ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ On extremal behavior of aggregation of largest claims ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ Archimedean copulas in finite and infinite dimensions -- with application to ruin problems ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations

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