On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

DOI10.1016/J.JMAA.2016.04.042zbMath1336.91047OpenAlexW2340893444MaRDI QIDQ281847

Ke Ang Fu

Publication date: 11 May 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.04.042

zbMATH Keywords

Lévy processfinite-time ruin probabilitybidimensional risk modelconsistent variationstochastic return

Mathematics Subject Classification ID

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

Related Items (5)

The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES ⋮ On a two-dimensional risk model with time-dependent claim sizes and risky investments ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims

Cites Work

• Unnamed Item
• Unnamed Item
• Ruin probabilities of a bidimensional risk model with investment
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• A two-dimensional ruin problem on the positive quadrant
• On the ruin probabilities of a bidimensional perturbed risk model
• Some results on ruin probabilities in a two-dimensional risk model.
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Introductory lectures on fluctuations of Lévy processes with applications.
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
• Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
• On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate

This page was built for publication: On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims