Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

DOI10.1016/j.jmaa.2012.08.060zbMath1261.91023OpenAlexW1984243140MaRDI QIDQ691839

Jie Liu, Yang Yang, Kai Yong Wang

Publication date: 4 December 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.08.060

zbMATH Keywords

compound renewal risk modelrandom sumwidely orthant dependencefinite-time and infinite-time absolute ruin probabilitiesmaximum domain of attraction of the Gumbel distribution

Mathematics Subject Classification ID

Related Items (3)

Uniform estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model ⋮ Probability inequalities for sums of WUOD random variables and their applications ⋮ The absolute ruin insurance risk model with a threshold dividend strategy

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