The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

By Yiqing Chen, Kai Wang Ng. 2007

82 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b95c56a5a0cdeb6db7f977805ad0142247a3a757

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yiqing Chen
2. Jostein Paulsen
3. Yuebao Wang
4. Kam Chuen Yuen
5. Kaiyong Wang
6. Qihe Tang
7. Qingwu Gao
8. Yang Yang

In Finance

1. Kam Chuen Yuen
2. Yiqing Chen
3. Yuebao Wang
4. Qihe Tang
5. Jostein Paulsen
6. Kaiyong Wang
7. Qingwu Gao
8. Dingcheng Wang

In Management Science and Operations Research

1. Kam Chuen Yuen
2. Yiqing Chen
3. Yuebao Wang
4. Jostein Paulsen
5. Kaiyong Wang
6. Qihe Tang
7. Qingwu Gao
8. Yang Yang

Citations in the corpus

• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model (2007, background): “Recently, Chen and Ng (2007) extended the asymptotic relation (2.2) with t = ∞ to the case of negatively dependent claims.”
• Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate (2013, background): “r.v.s, and the process {C(t), t ≥ 0} is a deterministic linear function, Theorem 1 of Chen and Ng (2007) has given the asymptotics for the ultimate ruin probability ψ(x):”
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010, unknown): “Hence, following the same lines of the proof of Theorem 3.1 of Tang and Tsitsiashvili (2004) with some obvious modifications (see also Section 4 of Chen and Ng (2007)), we obtain lim n→∞ lim supx→∞ 1 F̄ (x) Pr ( ∞∑ k=n+1 Xke −rτk > x ) = lim n→∞ lim supx→∞ ∞∑ k=n+1 Pr(Xke−rτk > x) F̄ (x) = 0.”
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation (2009, background): “[12], Chen and Ng[4], and Tang and Vernic[31] to the case in which the claims are pairwise quasi-asymptotically independent.”
• Ruin Models with Investment Income (2008, background): “2) where it is only assumed that F ∈ ERV is given in [15] when t = ∞.”
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes (2019, background): “A similar phenomenon in one-dimensional risk models was observed by [3], [15] and [24], among others.”