Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
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Publication:1716939
DOI10.3934/jimo.2017044zbMath1412.91059MaRDI QIDQ1716939
Yang Yang, Kam-Chuen Yuen, Jun-Feng Liu
Publication date: 5 February 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2017044
asymptotics; consistent variation; finite-time and infinite-time ruin probabilities; dominated variation; long tail; Lévy-driven risk model