ASYMPTOTIC RUIN PROBABILITIES IN A GENERALIZED JUMP-DIFFUSION RISK MODEL WITH CONSTANT FORCE OF INTEREST

키워드

참고문헌 (26)

1. N. H. Bingham, "Regular Variation" (1987), Cambridge Unversity Press
2. Y. Chen, "Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models", J. Math. Anal. Appl, 401(1), pp.114~129 (2013)
3. Y. Chen, "Sums of pairwise quasi-asymptotically independent random variables with consistent variation", Stoch. Models, 25(1), pp.76~89 (2009)
4. Y. Chen, "Precise large deviations of aggregate claims in a size-dependent renewal risk model", Insurance Math. Econom, 51(2), pp.457~461 (2012)
5. Y. Chen, "Asymptotic tail probability of randomly weighted sum of dependent heavy-tailed random variables", Asia-Pac. J. Risk Insur, 4(2) (2010)[DOI]
6. D. B. H. Cline, "Subexponentiality of the product of independent random variables", Stochastic Process. Appl, 49(1), pp.75~98 (1994)
7. P. Embrechts, "Modelling Extremal Events" (1997), Springer
8. Q. Gao, "Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force", To appear in Rocky Mountain J. Math.; http:, projecteuclid.org, pp.euclid.rmjm, 1374758577
9. Q. Gao, "Uniform asymptotics for the finite-time ruin probability with upper tail asymptotically independent claims and constant force of interest", Statist. Probab. Lett, 83(6), pp.1527~1538 (2013)
10. J. Geluk, "Asymptotic tail probabilities of sums of dependent subexponential random variables", J. Theoret. Probab, 22(4), pp.871~882 (2009)
11. X. Hao, "uniform asymptotic estimate for discounted aggregate claims with subexponential tails", Insurance Math. Econom, 43(1), pp.116~120 (2008)
12. T. Jiang, "The finite-time ruin probability for the jump-diffusion model with constant interest force", Acta Math. Appl. Sin. Engl. Ser, 22(1), pp.171~176 (2006)
13. J. Li, "On pairwise quasi-asymptotically independent random variables and their applications", Statist. Probab. Lett, 83(9), pp.2081~2087 (2013)
14. J. Li, "Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model", Adv. in Appl. Probab, 42(4), pp.1126~1146 (2010)
15. J. Li, "Asymptotic ruin probabilities of the renewal model with constant interest force and dependent heavy-tailed claims", Acta Math. Appl. Sin. Engl. Ser, 27(2), pp.329~338 (2011)
16. X. Liu, "note on a dependent risk model with constant interest rate", Statist. Probab. Lett, 82(4), pp.707~712 (2012)
17. Q. Tang, "The ruin probability of a discrete time risk model under constant interest rate with heavy tail", Scand. Actuar. J, 2004(3), pp.229~240 (2004)
18. Q. Tang, "Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation", Scand. Actuar. J, 2005(1), pp.1~5 (2005)
19. Q. Tang, "Heavy tails of discounted aggregate claims in the continuous-time renewal model", J. Appl. Probab, 44(2), pp.285~294 (2007)
20. Q. Tang, "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks", Stochastic Process. Appl, 108(2), pp.299~325 (2003)
21. Q. Tang, "Randomly weighted sums of subexponential random variables with application to ruin theory", Extremes, 6(3), pp.171~188 (2003)
22. N. Veraverbeke, "Asymptotic estimates for the probability of ruin in a Poisson model with diffusion", Insurance Math. Econom, 13(1), pp.57~62 (1993)
23. D. Wang, "Finite-time ruin probability with heavy-tailed claims and constant interest rate", Stoch. Models, 24(1), pp.41~57 (2008)
24. D. Wang, "Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory", Sci. China Ser. A, 48(10), pp.1379~1394 (2005)
25. K. Wang, "Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate", Methodol. Comput. Appl. Probab, 15(1), pp.109~124 (2013)
26. Y. Yang, "Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims", Statist. Probab. Lett, 80(3-4), pp.143~154 (2010)

관련 논문AI추천