Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process

DOI10.1007/s10255-021-1050-8zbMath1476.91134OpenAlexW3206795844MaRDI QIDQ2240667

Yang Yang, Kam-Chuen Yuen, Jun-Feng Liu

Publication date: 4 November 2021

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-021-1050-8

zbMATH Keywords

uniformityfinite-time ruin probabilitydominated variationupper tail asymptotic independencestochastic log-return process on investments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

Related Items

The perturbed compound Poisson risk model with proportional investment

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