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arXiv · 2005.12637

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

Miriam Hägele
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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

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Miriam Hägele. 2020-05-26. Precise asymptotics of ruin probabilities for a class of multivariate heavy-tailed distributions. https://doi.org/10.1016/j.spl.2020.108871

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