Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations

DOI10.1080/17442508.2019.1708362zbMath1490.62314OpenAlexW2998367873WikidataQ126431647 ScholiaQ126431647MaRDI QIDQ5086619

Dong Ya Cheng

Publication date: 6 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1708362

zbMATH Keywords

uniform asymptoticsfinite-time ruin probabilitybidimensional risk modelheavy-tailed claimstail asymptotic independence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Related Items (8)

Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ 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 ⋮ Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

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