Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

DOI10.1007/S13160-022-00542-XzbMath1504.60178OpenAlexW4298395860MaRDI QIDQ2111576

Jiangyan Peng, Lei Zou, Ruonan Yang

Publication date: 17 January 2023

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

Full work available at URL: https://doi.org/10.1007/s13160-022-00542-x

zbMATH Keywords

ruin probabilityCMC simulationsgeneral investment returnone-sided linear processSarmanov dependence

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Credit risk (91G40) Risk models (general) (91B05)

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