On a two-dimensional risk model with time-dependent claim sizes and risky investments

DOI10.1016/J.CAM.2018.05.043zbMath1458.62242OpenAlexW2806147582WikidataQ129761703 ScholiaQ129761703MaRDI QIDQ724520

Chenglong Yu, Ke Ang Fu

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12165007160001831

zbMATH Keywords

extended regular variationruin probabilityLévy processtime-dependent risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Limit theorems in probability theory (60F99)

Related Items (3)

The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios

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