Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate

DOI10.1080/03610926.2019.1643888OpenAlexW2963089477WikidataQ127493723 ScholiaQ127493723MaRDI QIDQ5079456

Yanzhu Mao, Kai Yong Wang

Publication date: 27 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2019.1643888

zbMATH Keywords

asymptoticsfinite-time ruin probabilitydependent risk modeldominated varying tailed

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Statistics (62-XX) Characterization and structure theory of statistical distributions (62E10)

Related Items (3)

Uniform asymptotics for the compound risk model with dependence structures and constant force of interest ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments

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