The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

DOI10.1007/S10114-010-7574-0zbMath1201.91096OpenAlexW2053743357MaRDI QIDQ606341

Xin Mei Shen, Zheng Yan Lin

Publication date: 17 November 2010

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-010-7574-0

zbMATH Keywords

asymptotic estimaterenewal processfinite-time ruin probabilityconsistent variationupper-tail independent

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model ⋮ Asymptotic behavior of random time absolute ruin probability with \(\mathcal D \cap \mathcal L\) tailed and conditionally independent claim sizes ⋮ Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes

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