Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
DOI10.1016/j.insmatheco.2016.09.003zbMath1371.91100OpenAlexW2523379710MaRDI QIDQ2374111
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.003
asymptoticsruin probabilityLévy processdependencestochastic returnmultivariate regular variationmulti-dimensional risk model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)
Related Items (9)
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