Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return

DOI10.1080/03610926.2023.2232906MaRDI QIDQ6579745

Publication date: 26 July 2024

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Cites Work

Multivariate subexponential distributions and their applications
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims
Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail
Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
An introduction to copulas.
On the renewal risk process with stochastic interest
Ruin models with investment income
On the ruin probabilities of a bidimensional perturbed risk model
A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model
On the joint tail behavior of randomly weighted sums of heavy-tailed random variables
Distributions for the risk process with a stochastic return on investments.
Power tailed ruin probabilities in the presence of risky investments.
Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
On Cramér-like asymptotics for risk processes with stochastic return on investments
Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
Risk theory in a stochastic economic environment
Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Ruin probabilities and penalty functions with stochastic rates of interest
Tail asymptotics for exponential functionals of Lévy processes
Functional large deviations for multivariate regularly varying random walks
Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims
Ruin probabilities for a~risk process with stochastic return on investments.
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims
Multivariate subexponential distributions and random sums of random vectors
Continuous Bivariate Distributions
On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
Ruin theory with stochastic return on investments
Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

This page was built for publication: Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6579745)