Uniform asymptotics of the finite-time ruin probability for all times

Wang, Yuebao; Cui, Zhaolei; Wang, Kaiyong; Ma, Xiuli

doi:10.1016/j.jmaa.2012.01.025

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction3

Definition1

Results1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2012

2021

Publication Types

Select...

Article10

Relationship

Self Cite0

Independent10

Authors

Journals

Cited by 57 publications

(33 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…(1.3) Chen and Yuen (2012) and Lu (2011) used this assertion considering the large deviation problem, whereas Chen et al (2010), Bi and Zhang (2013), and Wang et al (2012) obtained analogous assertions when the generating random variables θ 1 , θ 2 , . .…”

Section: Introductionmentioning

confidence: 93%

The exponential moment tail of inhomogeneous renewal process

Bernackaitė

Šiaulys

2015

Statistics & Probability Letters

View full text Add to dashboard Cite

Section: Introductionmentioning

confidence: 93%

The exponential moment tail of inhomogeneous renewal process

Bernackaitė

Šiaulys

2015

Statistics & Probability Letters

View full text Add to dashboard Cite

“…A lot of attention have been paid on the study of negative dependent sequences such WOD, END, NO, NA, m-NA, m-END, m-linearly negative quadrant dependent (m-LNQD), etc. We can refer to [26][27][28][29][30][31][32][33][34][35] the references therein.…”

Section: Definitionmentioning

confidence: 99%

Asymptotic Approximations of Ratio Moments Based on Dependent Sequences

Fang

Ding

et al. 2020

Mathematics

View full text Add to dashboard Cite

The widely orthant dependent (WOD) sequences are very weak dependent sequences of random variables. For the weighted sums of non-negative m-WOD random variables, we provide asymptotic expressions for their appropriate inverse moments which are easy to calculate. As applications, we also obtain asymptotic expressions for the moments of random ratios. It is pointed out that our random ratios can include some models such as change-point detection. Last, some simulations are illustrated to test our results.

show abstract

“…In the case of exponential function, Theorem 1 implies the following assertion. [32]) demonstrated such a probabilistic way to obtain the assertion of Corollary 1 supposing, in addition, that r.v. 's {ξ 1 , ξ 2 , .…”

Section: Introductionmentioning

confidence: 96%

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk

Kievinaitė¹,

Šiaulys²

2018

Modern Stochastics: Theory and Applications

View full text Add to dashboard Cite

Let {ξ 1 , ξ 2 , . . .} be a sequence of independent but not necessarily identically distributed random variables. In this paper, the sufficient conditions are found under which the tail probability P(sup n 0 n i=1 ξ i > x) can be bounded above by 1 exp{− 2 x} with some positive constants 1 and 2 . A way to calculate these two constants is presented. The application of the derived bound is discussed and a Lundberg-type inequality is obtained for the ultimate ruin probability in the inhomogeneous renewal risk model satisfying the net profit condition on average.

show abstract

Uniform asymptotics of the finite-time ruin probability for all times

Cited by 57 publications

References 20 publications

The exponential moment tail of inhomogeneous renewal process

The exponential moment tail of inhomogeneous renewal process

Asymptotic Approximations of Ratio Moments Based on Dependent Sequences

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk

Contact Info

Product

Resources

About