Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

DOI10.3934/jimo.2016010zbMath1367.60106MaRDI QIDQ2358481

Jiangyan Peng, Ding Cheng Wang

Publication date: 15 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016010

zbMATH Keywords

ruin probability; Lévy process; stochastic investment returns; renewal risk model; bivariate Sarmanov distribution; one-sided linear process; dominatedly-varying tails

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K05: Renewal theory

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