Estimates for the finite-time ruin probability with insurance and financial risks
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Publication:692739
DOI10.1007/S10255-012-0189-8zbMath1252.62107OpenAlexW2083489243MaRDI QIDQ692739
Min Zhou, Yue-bao Wang, Kai Yong Wang
Publication date: 6 December 2012
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-012-0189-8
Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)
Related Items (22)
Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ APPROXIMATION OF THE TAIL PROBABILITIES FOR BIDIMENSIONAL RANDOMLY WEIGHTED SUMS WITH DEPENDENT COMPONENTS ⋮ Randomly Weighted Sums of Pairwise Quasi Upper-Tail Independent Increments with Application to Risk Theory ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Interplay of subexponential and dependent insurance and financial risks ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Some properties of the exponential distribution class with applications to risk theory ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ Randomly weighted sums with dominated varying-tailed increments and application to risk theory ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
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