Two-dimensional ruin probability for subexponential claim size
From MaRDI portal
Publication:4578300
zbMath1393.60100arXiv1702.01312MaRDI QIDQ4578300
Tomasz Rolski, Zbigniew Palmowski, Dmitrii Korshunov, Sergeĭ Georgievich Foss
Publication date: 8 August 2018
Full work available at URL: https://arxiv.org/abs/1702.01312
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
Pandemic-type failures in multivariate Brownian risk models ⋮ The probability of reaching a receding boundary by a branching random walk with fading branching and heavy-tailed jump distribution ⋮ Subexponential potential asymptotics with applications ⋮ First exit time for a discrete-time parallel queue ⋮ Ruin probabilities for two collaborating insurance companies ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ A \(2\times 2\) random switching model and its dual risk model ⋮ Bivariate regular variation among randomly weighted sums in general insurance ⋮ Running supremum of Brownian motion in dimension 2: exact and asymptotic results
Cites Work
- Unnamed Item
- Unnamed Item
- Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
- Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
- Uniform asymptotics of the finite-time ruin probability for all times
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
- Asymptotics of randomly stopped sums in the presence of heavy tails
- A two-dimensional ruin problem on the positive quadrant
- On the ruin probabilities of a bidimensional perturbed risk model
- Large deviations results for subexponential tails, with applications to insurance risk
- On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
- The maximum on a random time interval of a random walk with long-tailed increments and negative drift.
- Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Tandem Brownian queues
- On the first time of ruin in the bivariate compound Poisson model
- The probability of exceeding a high boundary on a random time interval for a heavy-tailed random walk
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Queues and Risk Models with Simultaneous Arrivals
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
- On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
- On Exceedance Times for Some Processes with Dependent Increments
This page was built for publication: Two-dimensional ruin probability for subexponential claim size
