Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims

DOI10.1360/012016-4zbMath1499.62377OpenAlexW2337569721MaRDI QIDQ5063667

Wei Zhang, Fenglong Guo, Ding Cheng Wang

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012016-4

zbMATH Keywords

Lévy processheavy tailrenewal risk modeltime-dependenceone-sided linear processinvestment return process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

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Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns

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