Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

DOI10.3934/jimo.2016010zbMath1367.60106OpenAlexW2332853184MaRDI QIDQ2358481

Jiangyan Peng, Ding Cheng Wang

Publication date: 15 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016010

zbMATH Keywords

ruin probabilityLévy processstochastic investment returnsrenewal risk modelbivariate Sarmanov distributionone-sided linear processdominatedly-varying tails

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

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