Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force

DOI10.1216/RMJ-2014-44-5-1505zbMath1309.91075OpenAlexW2040558764MaRDI QIDQ485877

Na Jin, Houcai Shen, Qingwu Gao

Publication date: 14 January 2015

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.rmjm/1420071552

zbMATH Keywords

asymptoticsfinite-time ruin probabilityconsistent variationpairwise quasi-asymptotic independence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items

Uniform asymptotics for the compound risk model with dependence structures and constant force of interest, Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments, Asymptotics for a delay-claim risk model with diffusion, dependence structures and constant force of interest, Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims, Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims, Uniform asymptotics for a delay-claims risk model with constant force of interest and by-claims arriving according to a counting process

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