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

DOI10.1007/s13160-018-0321-0zbMath1403.62194OpenAlexW2887950276WikidataQ129403281 ScholiaQ129403281MaRDI QIDQ1630233

Lamei Chen, Miaomiao Gao, Yang Yang, Kai Yong Wang

Publication date: 7 December 2018

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

Full work available at URL: https://doi.org/10.1007/s13160-018-0321-0

zbMATH Keywords

asymptoticsLévy processfinite-time ruin probabilityBrownian perturbationthe class of subexponential distributions

Mathematics Subject Classification ID

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

Related Items

Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, The finite-time ruin probability of a risk model with a general counting process and stochastic return, Asymptotics for random-time ruin probability of a risk model with diffusion, constant interest force and non-stationary arrivals, On the ruin probabilities for a general perturbed renewal risk process, Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims, Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims, Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process, Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations, Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

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