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

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  • Hägele, Miriam

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.

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  • Hägele, Miriam, 2020. "Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 166(C).
    • Handle: RePEc:eee:stapro:v:166:y:2020:i:c:s0167715220301747
    DOI: 10.1016/j.spl.2020.108871
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    References listed on IDEAS

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    1. Asmussen, Søren & Klüppelberg, Claudia, 1996. "Large deviations results for subexponential tails, with applications to insurance risk," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 103-125, November.
    2. Veraverbeke, N., 1977. "Asymptotic behaviour of Wiener-Hopf factors of a random walk," Stochastic Processes and their Applications, Elsevier, vol. 5(1), pages 27-37, February.
    3. Cline, Daren B. H. & Resnick, Sidney I., 1992. "Multivariate subexponential distributions," Stochastic Processes and their Applications, Elsevier, vol. 42(1), pages 49-72, August.
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