Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes

zbMath1298.62185MaRDI QIDQ464575

Hongmei Wu, Tingting Pan, Fei Ding, Kai Yong Wang

Publication date: 27 October 2014

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://bims.iranjournals.ir/article_531_62.html

zbMATH Keywords

asymptoticsdominatedly varying tailconstant interest rateinfinite time ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (1)

Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model

This page was built for publication: Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes