Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions

被引：2

作者：

Hagele, Miriam ^{[1
]}

机构：

[1] Univ Helsinki, Dept Math & Stat, POB 68, Helsinki 00014, Finland

来源：

STATISTICS & PROBABILITY LETTERS | 2020年 / 166卷

关键词：

Subexponential distribution; Ruin probability; Multivariate random walk; LARGE DEVIATIONS; SUBEXPONENTIAL DISTRIBUTIONS; INSURANCE;

D O I：

10.1016/j.spl.2020.108871

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate subexponentiality and admit dependence between components. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：8

共 50 条

[1] Rates in Approximations to Ruin Probabilities for Heavy-Tailed Distributions
Thomas Mikosch
Alexander Nagaev
[J]. Extremes, 2001, 4 (1) : 67 - 78
[2] Calculation of ruin probabilities for a dense class of heavy tailed distributions
Bladt, Mogens
Nielsen, Bo Friis
Samorodnitsky, Gennady
[J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2015, (07) : 573 - 591
[3] ASYMPTOTICS FOR RUIN PROBABILITIES IN LEVY-DRIVEN RISK MODELS WITH HEAVY-TAILED CLAIMS
Yang, Yang
Yuen, Kam C.
Liu, Jun-Feng
[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2018, 14 (01) : 231 - 247
[4] Second order asymptotics for ruin probabilities in a renewal risk model with heavy-tailed claims
Lin, Jianxi
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02): : 422 - 429
[5] Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
Chen, Yiqing
Yuen, Kam C.
Ng, Kai W.
[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2011, 27 (03) : 290 - 300
[6] Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims
Lin, Jianxi
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2021, 50 (05) : 1200 - 1209
[7] Ruin probabilities under general investments and heavy-tailed claims
Henrik Hult
Filip Lindskog
[J]. Finance and Stochastics, 2011, 15 : 243 - 265
[8] Ruin probabilities under general investments and heavy-tailed claims
Hult, Henrik
Lindskog, Filip
[J]. FINANCE AND STOCHASTICS, 2011, 15 (02) : 243 - 265
[9] An asymptotic relationship for ruin probabilities under heavy-tailed claims
Tang, QH
[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY, 2002, 45 (05): : 632 - 639
[10] An asymptotic relationship for ruin probabilities under heavy-tailed claims
唐启鹤
[J]. Science China Mathematics, 2002, (05) : 632 - 639

← 1 2 3 4 5 →