The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation

DOI10.1007/S13160-020-00406-2zbMath1437.62381OpenAlexW3006282797MaRDI QIDQ2174800

Baoyin Xun, Kai Yong Wang, Kam-Chuen Yuen

Publication date: 27 April 2020

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

Full work available at URL: https://doi.org/10.1007/s13160-020-00406-2

zbMATH Keywords

heavy-tailed distributionLévy processfinite-time ruin probabilityBrownian perturbation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items (1)

Uniform asymptotics for the compound risk model with dependence structures and constant force of interest

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