{"title":"具有次指数索赔的多维风险模型的渐近有限时间毁灭概率","authors":"Dawei Lu, Ting Li, Meng Yuan, Xinmei Shen","doi":"10.1007/s11009-024-10103-z","DOIUrl":null,"url":null,"abstract":"<p>This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.</p>","PeriodicalId":18442,"journal":{"name":"Methodology and Computing in Applied Probability","volume":null,"pages":null},"PeriodicalIF":1.0000,"publicationDate":"2024-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims\",\"authors\":\"Dawei Lu, Ting Li, Meng Yuan, Xinmei Shen\",\"doi\":\"10.1007/s11009-024-10103-z\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.</p>\",\"PeriodicalId\":18442,\"journal\":{\"name\":\"Methodology and Computing in Applied Probability\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.0000,\"publicationDate\":\"2024-09-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Methodology and Computing in Applied Probability\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1007/s11009-024-10103-z\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Methodology and Computing in Applied Probability","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s11009-024-10103-z","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims
This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.
期刊介绍：
Methodology and Computing in Applied Probability will publish high quality research and review articles in the areas of applied probability that emphasize methodology and computing. Of special interest are articles in important areas of applications that include detailed case studies. Applied probability is a broad research area that is of interest to many scientists in diverse disciplines including: anthropology, biology, communication theory, economics, epidemiology, finance, linguistics, meteorology, operations research, psychology, quality control, reliability theory, sociology and statistics.
The following alphabetical listing of topics of interest to the journal is not intended to be exclusive but to demonstrate the editorial policy of attracting papers which represent a broad range of interests:
-Algorithms-
Approximations-
Asymptotic Approximations & Expansions-
Combinatorial & Geometric Probability-
Communication Networks-
Extreme Value Theory-
Finance-
Image Analysis-
Inequalities-
Information Theory-
Mathematical Physics-
Molecular Biology-
Monte Carlo Methods-
Order Statistics-
Queuing Theory-
Reliability Theory-
Stochastic Processes
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