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 read more

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Probability