Approximation for the ruin probabilities in a discrete time risk model with dependent risks

DOI10.1016/j.spl.2010.04.014zbMath1201.62119OpenAlexW2043720915MaRDI QIDQ988103

Yin-Feng Wang, Chuan-Cun Yin

Publication date: 26 August 2010

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

Full work available at URL: https://doi.org/10.1016/j.spl.2010.04.014

zbMATH Keywords

asymptoticsruin probabilitydiscrete time risk modeldependent risksnonconstant interest rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items

Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance ⋮ Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model ⋮ On the ruin probability in a dependent discrete time risk model with insurance and financial risks ⋮ An exponential martingale for compound Poisson process with latent variable and its applications ⋮ Uniform estimate for the tail probabilities of randomly weighted sums ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Approximation of the tail probability of randomly weighted sums and applications
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Some concepts of negative dependence
• Subexponentiality of the product of independent random variables
• Hidden regular variation, second order regular variation and asymptotic independence
• Negative association of random variables, with applications
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Weighted sums of subexponential random variables and their maxima