The finite-time ruin probability of a risk model with a general counting process and stochastic return
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Publication:2673377
DOI10.3934/jimo.2021032zbMath1499.91026MaRDI QIDQ2673377
Kai Yong Wang, Kam-Chuen Yuen, Baoyin Xun
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
Lévy process; dependence structure; finite-time ruin probability; stochastic return; general risk model
60G51: Processes with independent increments; Lévy processes
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
62E10: Characterization and structure theory of statistical distributions
91B05: Risk models (general)