The finite-time ruin probability of a risk model with a general counting process and stochastic return

DOI10.3934/jimo.2021032zbMath1499.91026MaRDI QIDQ2673377

Baoyin Xun, Kam-Chuen Yuen, Kai Yong Wang

Publication date: 9 June 2022

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

Full work available at URL: https://doi.org/10.3934/jimo.2021032

zbMATH Keywords

Lévy process; dependence structure; finite-time ruin probability; stochastic return; general risk model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

62E10: Characterization and structure theory of statistical distributions

91B05: Risk models (general)

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Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments

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