The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

DOI10.1007/s13160-018-0321-0zbMath1403.62194OpenAlexW2887950276WikidataQ129403281 ScholiaQ129403281MaRDI QIDQ1630233

Lamei Chen, Miaomiao Gao, Yang Yang, Kai Yong Wang

Publication date: 7 December 2018

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-018-0321-0

zbMATH Keywords

asymptoticsLévy processfinite-time ruin probabilityBrownian perturbationthe class of subexponential distributions

Mathematics Subject Classification ID

Related Items (10)

Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations ⋮ Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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