Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims

DOI10.1239/AAP/1363354110zbMath1311.60100OpenAlexW2028399302MaRDI QIDQ4915657

Fenglong Guo, Ding Cheng Wang

Publication date: 11 April 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1363354110

zbMATH Keywords

fractional Brownian motionruin probabilityheavy tailCox-Ingersoll-Ross modelHeston modelupper tail dependenceinvestment return processvasicek model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (10)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ 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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