Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims

DOI10.1007/S11009-024-10103-ZMaRDI QIDQ6643664

Xinmei Shen, Dawei Lu, Ting Li, Meng Yuan

Publication date: 26 November 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

ruin probabilitydependencesubexponential classmultidimensional risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Actuarial mathematics (91G05)

Cites Work

• Title not available (Why is that?)
• Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
• Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
• The finite-time ruin probability in two non-standard renewal risk models with constant interest rate and dependent subexponential claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Subexponentiality of the product of independent random variables
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Tail probability of randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims
• Randomly weighted sums of dependent subexponential random variables with applications to risk theory
• Asymptotic tail behavior of a random sum with conditionally dependent subexponential summands
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Sums of Dependent Nonnegative Random Variables with Subexponential Tails
• Asymptotic behavior for sum ruin probability of a generalized bidimensional risk model with heavy-tailed claims

This page was built for publication: Asymptotic finite-time ruin probabilities for a multidimensional risk model with subexponential claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6643664)