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

下载

页数：8

共 50 条

[21] Asymptotic ruin probabilities of the renewalmodel with constant interest force and dependent heavy-tailed claims
Jin-zhu Li
Rong Wu
Acta Mathematicae Applicatae Sinica, English Series, 2011, 27 : 329 - 338
[22] Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
Konstantinides, DG
Mikosch, T
ANNALS OF PROBABILITY, 2005, 33 (05): : 1992 - 2035
[23] Heavy-tailed distributions and their applications
Su, C
Tang, QH
PROBABILITY, FINANCE AND INSURANCE, 2004, : 218 - 236
[24] Heavy-tailed log hydraulic conductivity distributions imply heavy-tailed log velocity distributions
Kohlbecker, MV
Wheatcraft, SW
Meerschaert, MM
WATER RESOURCES RESEARCH, 2006, 42 (04)
[25] Comparison and Classification of Flexible Distributions for Multivariate Skew and Heavy-Tailed Data
Babic, Sladana
Ley, Christophe
Veredas, David
SYMMETRY-BASEL, 2019, 11 (10):
[26] Asymptotic Ruin Probabilities of the Renewal Model with Constant Interest Force and Dependent Heavy-tailed Claims
Jin-zhu Li~1
Acta Mathematicae Applicatae Sinica, 2011, 27 (02) : 329 - 338
[27] Ruin Probabilities in Compound Renewal Risk Model with Interest Force Under Heavy-tailed Distribution
Yan Chun
Liu Wei
PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT SCIENCE AND INFORMATION SYSTEM, VOLS 1-4, 2009, : 575 - 579
[28] Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations.
Konstantinides, Dimitrios G.
Mikosch, Thomas
INSURANCE MATHEMATICS & ECONOMICS, 2006, 39 (03): : 400 - 400
[29] Bayesian estimation of ruin probabilities with a heterogeneous and heavy-tailed insurance claim-size distribution
Ausin, A. Concepcion
Lopes, Hedibert F.
AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2007, 49 (04) : 415 - 434
[30] Asymptotics of Sum of Heavy-tailed Risks with Copulas
Yang, Fan
Zhang, Yi
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2023, 25 (04)

← 1 2 3 4 5 →