The finite-time ruin probability of a risk model with a general counting process and stochastic return

DOI10.3934/JIMO.2021032MaRDI QIDQ2673377zbMATH OpenOpenAlexFDO

Authors Baoyin Xun, Kam Chuen Yuen, Kaiyong Wang

Publication date 9 June 2022

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

Full work available at URL https://doi.org/10.3934/jimo.2021032

zbMATH Keywords

dependence structurefinite-time ruin probabilitygeneral risk modelLévy processstochastic return

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

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Cites work

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Cited in

(6)

• Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
• Asymptotics for the finite-time ruin probability of a risk model with a general counting process
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments

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