Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors

DOI10.1080/03461238.2023.2256508OpenAlexW4386750849MaRDI QIDQ6127105

Kam-Chuen Yuen, Yang Yang, Unnamed Author

Publication date: 10 April 2024

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2023.2256508

zbMATH Keywords

asymptoticssystematic factorsfinite-time ruin probabilityinsurance claimsinvestment return jumps

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Actuarial mathematics (91G05)

Cites Work

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