Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
Probability
2021-05-12 v1
Abstract
This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate subexponentiality and admit dependence between components. Keywords: subexponential distribution, ruin probability, multivariate random walk
Keywords
Cite
@article{arxiv.2005.12637,
title = {Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions},
author = {Miriam Hägele},
journal= {arXiv preprint arXiv:2005.12637},
year = {2021}
}
Comments
12 pages