Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims

DOI10.1007/S11766-015-3297-4zbMath1349.91135OpenAlexW2234469556MaRDI QIDQ530729

Anding Wang, Yuyang Qiu, Ke Ang Fu

Publication date: 10 August 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-015-3297-4

zbMATH Keywords

ruin probabilitytime-dependentby-claimdominatedly varying tailquasi-asymptotic independenceextended upper negative dependence

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (4)

Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims ⋮ Asymptotic ruin probabilities for a renewal risk model with a random number of delayed claims ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

Cites Work

• Unnamed Item
• Unnamed Item
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Delay in claim settlement
• The compound binomial risk model with time-correlated claims
• Precise large deviations for dependent random variables with heavy tails
• Ruin probabilities allowing for delay in claims settlement
• Subexponentiality of the product of independent random variables
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Optimal portfolios when stock prices follow an exponential Lévy process
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• One-sided analogues of Karamata's regular variation
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• On pairwise quasi-asymptotically independent random variables and their applications
• Optimal Portfolios with Bounded Capital at Risk
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Financial Modelling with Jump Processes
• On Ultimate Ruin in a Delayed-Claims Risk Model
• Exponential Behavior in the Presence of Dependence in Risk Theory
• Dependence measures for extreme value analyses

This page was built for publication: Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims