Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
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Publication:2359999
DOI10.1016/j.cam.2017.04.049zbMath1366.91097OpenAlexW2613681303MaRDI QIDQ2359999
Fenglong Guo, Hailiang Yang, Ding Cheng Wang
Publication date: 23 June 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/245293
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items (8)
Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
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