Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns

DOI10.1016/J.CAM.2017.04.049zbMATH Open1366.91097OpenAlexW2613681303MaRDI QIDQ2359999FDOQ2359999

Authors: Fenglong Guo, Hailiang Yang, Dingcheng Wang 

Publication date: 23 June 2017

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

Full work available at URL: http://hdl.handle.net/10722/245293

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zbMATH Keywords

regular variationruin probabilityinvestment returntwo-dimensional risk modelSarmanov dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Cites Work

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• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

Cited In (14)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims
• Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims
• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Strong stability in a two-dimensional classical risk model with independent claims
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums

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