Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

DOI10.1080/17442508.2018.1539088zbMath1493.62580OpenAlexW2901314747MaRDI QIDQ5087017

Chang Jun Yu, Dong Ya Cheng

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1539088

zbMATH Keywords

heavy-tailed distributionsuniform asymptoticsfinite-time ruin probabilitiesbidimensional renewal risk model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Related Items (12)

Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ 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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