Asymptotics for a bidimensional risk model with two geometric Lévy price processes

DOI10.3934/jimo.2018053zbMath1438.91119MaRDI QIDQ2313745

Jiajun Liu, Yang Yang, Zhimin Zhang, Kai Yong Wang

Publication date: 23 July 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.2018053

zbMATH Keywords

asymptotics; dependence; bidimensional risk model; dominatedly varying tail; consistently varying tail; long tail; geometric Lévy price process; infinite-time and finite-time ruin probabilities

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K05: Renewal theory

91G05: Actuarial mathematics

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