The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims

DOI10.1080/03610926.2020.1811337OpenAlexW3080446690MaRDI QIDQ5079815

Hui Xu, Fengyang Cheng

Publication date: 30 May 2022

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

Full work available at URL: https://arxiv.org/abs/1705.09939

zbMATH Keywords

subexponential distributionsnonhomogeneous Poisson processrandomly weighted sumsfinite-time ruin probabilitiesconditionally independent

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate

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