Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
DOI10.1080/03610926.2020.1801740OpenAlexW3047426625MaRDI QIDQ5079932
Jiangyan Peng, Qian Bao, Zhiquan Jiang, Haojie Jing
Publication date: 30 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1801740
heavy-tailed distributionfinite-time ruin probabilityone-sided linear processdependent insurance and financial risksbivariate sarmanov distributionstationary causal process
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics (62-XX)
Related Items (3)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Randomly weighted sums of subexponential random variables with application to capital allocation
- Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
- Estimates for the finite-time ruin probability with insurance and financial risks
- Tail behavior of the product of two dependent random variables with applications to risk theory
- Ruin probability in a one-sided linear model with constant interest rate
- Approximation of the tail probability of randomly weighted sums and applications
- Time series: theory and methods.
- Subexponentiality of the product of independent random variables
- Ruin problems with assets and liabilities of diffusion type
- The supremum of a negative drift random walk with dependent heavy-tailed steps.
- Randomly weighted sums of subexponential random variables with application to ruin theory
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
- Strong invariance principles for dependent random variables
- On linear processes with dependent innovations
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process
- The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
- Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
- Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
- Properties and applications of the sarmanov family of bivariate distributions
- MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
- The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks
- WEAK CONVERGENCE TO STOCHASTIC INTEGRALS UNDER PRIMITIVE CONDITIONS IN NONLINEAR ECONOMETRIC MODELS
- Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
- A necessary and sufficient condition for the subexponentiality of the product convolution
- Nonlinear system theory: Another look at dependence
- Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
- Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
This page was built for publication: Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
