The finite-time ruin probability for ND claims with constant interest force

DOI10.1016/j.spl.2008.05.036zbMath1319.62206OpenAlexW1975287453MaRDI QIDQ956402

Gaofeng Zong, Fan Chao Kong

Publication date: 25 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.05.036

zbMATH Keywords

asymptotic formulafinite-time ruin probabilitynegatively dependent claimsnonstandard compound Poisson model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Characterization and structure theory of statistical distributions (62E10)

Related Items (13)

Unnamed Item ⋮ Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate ⋮ The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ Finite-time ruin probability of a nonstandard compound renewal risk model with constant force of interest ⋮ Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate ⋮ A note on a dependent risk model with constant interest rate ⋮ Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force ⋮ Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model ⋮ Tail behavior of the sums of dependent and heavy-tailed random variables ⋮ Uniformly asymptotic behavior for the tail probability of discounted aggregate claims in the time-dependent risk model with upper tail asymptotically independent claims ⋮ Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails ⋮ Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications

Cites Work

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• Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Large deviations for random sums of negatively dependent random variables with consistently varying tails
• Some concepts of negative dependence
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
• Some Concepts of Dependence
• A Note on Cumulative Sums

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