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

26 May 2020 · Hägele Miriam ·

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