Related papers: Asymptotics for aggregated interdependent multivar…
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…
We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…
This paper investigates the second order asymptotic expansion for tail probabilities of discounted aggregate claims in continuous-time renewal risk models with constant interest force. Concretely, two types of continuous-time renewal risk…
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…
In this paper, we consider a bidimensional renewal risk model with constant force of interest, in which the claim size vector with certain local subexponential marginal distribution and its inter-arrival time are subject to a new…
We consider the multivariate risk model with common renewal process among the lines of business, and Brownian perturbations. Assuming that the integrated tail distribution of claims is multivariate subexponential, we establish an asymptotic…
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…
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…
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
In this paper, we study the structure of the complete asymptotic expansion of the probability that a large combinatorial object is connected or consists of a given number of connected components. For rapidly growing labeled families of…
Asymptotic properties, both consistency and weak convergence, of estimators arising in a general class of dynamic recurrent event models are presented. The class of models take into account the impact of interventions after each event…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…