ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

DOI10.1017/S0269964806060062zbMath1136.91490OpenAlexW2053366633MaRDI QIDQ5291231

Qi-he Tang

Publication date: 9 May 2006

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964806060062

Mathematics Subject Classification ID

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

Related Items (12)

Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ The uniform approximation of the tail probability of the randomly weighted sums of subexponential random variables ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables ⋮ Estimates for the finite-time ruin probability with insurance and financial risks ⋮ The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks ⋮ The Maximum of Randomly Weighted Sums with Long Tails in Insurance and Finance ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure

Cites Work

• Convolution tails, product tails and domains of attraction
• Subexponentiality of the product of independent random variables
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Asymptotic ruin probabilities and optimal investment
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Randomly weighted sums of subexponential random variables with application to ruin theory
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities and penalty functions with stochastic rates of interest
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities with dependent rates of interest
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal investment for insurers

This page was built for publication: ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS