Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions,Statistics & Probability Letters

当前位置： X-MOL 学术 › Stat. Probab. Lett. › 论文详情

Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)

Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2020-11-01 , DOI: 10.1016/j.spl.2020.108871
Miriam Hägele

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

中文翻译：