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

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

12 pages

References in corpus (2)

• Functional large deviations for multivariate regularly varying random walks
• A note on Veraverbeke's theorem

Cited by in corpus (1)

• Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance