Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

DOI10.1016/j.insmatheco.2015.04.006zbMath1348.91155OpenAlexW1993049408MaRDI QIDQ495446

Tao Jiang, Yang Chen, Hui Xu, Yue-bao Wang

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.04.006

zbMATH Keywords

subexponential distributiontime dependencebidimensional renewal modelfinite-time ruin probabilitiesuniform asymptotic estimate

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (21)

Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns ⋮ Unnamed Item ⋮ Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times ⋮ Large deviations for the discounted aggregate claims in time-dependent risk model with constant interest force ⋮ A dependent insurance risk model with surrender and investment under the thinning process ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ Asymptotic ruin probabilities for a bidimensional renewal risk model ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Two-dimensional ruin probability for subexponential claim size ⋮ On a two-dimensional risk model with time-dependent claim sizes and risky investments ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Asymptotics for a bidimensional risk model with two geometric Lévy price processes ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ A \(2\times 2\) random switching model and its dual risk model

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