Tail asymptotic of discounted aggregate claims with compound dependence under risky investment

DOI10.1080/03610926.2017.1417437OpenAlexW2783663706MaRDI QIDQ5078281

Jiangyan Peng, Fenglong Guo, Ding Cheng Wang

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1417437

zbMATH Keywords

asymptotic independenceLévy processheavy tailone-sided linear processinvestment returns

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

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