Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims

DOI10.1016/j.amc.2022.127436WikidataQ114210794 ScholiaQ114210794MaRDI QIDQ2168589

Ming Cheng, Ding Cheng Wang, Dimitrios G. Konstantinides

Publication date: 26 August 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127436

zbMATH Keywords

ruin probability; risk model; stochastic return; multivariate regular variation; càdlàg process

Mathematics Subject Classification ID

91Bxx: Mathematical economics

62Pxx: Applications of statistics

60Kxx: Special processes

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