Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

DOI10.1016/j.cam.2015.03.020zbMath1314.91148MaRDI QIDQ2346633

Zhimin Zhang, Tao Jiang, Yang Yang, Dong Ya Cheng

Publication date: 2 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.cam.2015.03.020

zbMATH Keywords

simulation; uniformity; ruin probability; Lévy process; dependence; dominated variation

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K05: Renewal theory

Related Items

Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations, The finite-time ruin probability of a risk model with a general counting process and stochastic return

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