Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
DOI10.1134/S1995080223110057zbMATH Open1537.91237MaRDI QIDQ6544208
Publication date: 27 May 2024
Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)
heavy-tailed distributionruin probabilityrenewal risk modelFarlie-Gumbel-Morgenstern copulaBoole's inequality
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)
Cites Work
- Title not available (Why is that?)
- Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims
- A note on a dependent risk model with constant interest rate
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- The finite-time ruin probability for ND claims with constant interest force
- Finite-time ruin probability with NQD dominated varying-tailed claims and NLOD inter-arrival times
- Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
- Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
- Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
- On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
- On pairwise quasi-asymptotically independent random variables and their applications
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- The finite-time ruin probability of the compound Poisson model with constant interest force
- Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
- Probability
- On the accuracy of phase-type approximations of heavy-tailed risk models
- Probability: A Graduate Course
- Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
- On Ultimate Ruin in a Delayed-Claims Risk Model
- On the ruin probabilities for a general perturbed renewal risk process
Related Items (1)
This page was built for publication: Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6544208)