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Uniform asymptotics for the finite-time and infinite-time ruin probabilities in a dependent risk model with constant interest rate and heavy-tailed claims

โœ Scribed by Yang Yang; Kaiyong Wang


Book ID
113073794
Publisher
Springer
Year
2012
Tongue
English
Weight
154 KB
Volume
52
Category
Article
ISSN
0363-1672

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Asymptotics for the ruin probabilities o
โœ Yiqing Chen; Kam C. Yuen; Kai W. Ng ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 147 KB ๐Ÿ‘ 2 views

In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty