Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions

Miriam Hägele

Statistics & Probability Letters, 2020, vol. 166, issue C

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 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108871

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