Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times

DOI10.1080/03610926.2019.1565782OpenAlexW2943020688WikidataQ127958028 ScholiaQ127958028MaRDI QIDQ5077384

Dong Ya Cheng, Chang Jun Yu

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1565782

zbMATH Keywords

heavy-tailed distributionsuniform asymptoticsfinite-time ruin probabilitiestwo-dimensional renewal risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics (62-XX) Characterization and structure theory of statistical distributions (62E10)

Related Items (5)

Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Complete convergence for randomly weighted sums of random variables and its application in linear-time-invariant systems ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims

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