On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

DOI10.1016/J.JMAA.2016.04.042zbMATH Open1336.91047OpenAlexW2340893444MaRDI QIDQ281847FDOQ281847

Authors: Ke-Ang Fu 

Publication date: 11 May 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.04.042

Recommendations

• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• A two-dimensional ruin problem on the positive quadrant

zbMATH Keywords

finite-time ruin probabilitybidimensional risk modelconsistent variationstochastic returnLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• Lévy Processes and Stochastic Calculus
• Asymptotic results for ruin probability of a two-dimensional renewal risk model
• Some results on ruin probabilities in a two-dimensional risk model.
• Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
• Ruin probabilities of a bidimensional risk model with a constant interest rate
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• On joint ruin probabilities of a two-dimensional risk model with constant interest rate
• Ruin probabilities of a bidimensional risk model with investment
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• A two-dimensional ruin problem on the positive quadrant
• On the ruin probabilities of a bidimensional perturbed risk model

Cited In (11)

• Asymptotic Results for the Severity and Surplus Before Ruin for a Class of Lévy Insurance Processes
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• A two-dimensional ruin problem on the positive quadrant
• On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
• A particular bidimensional time-dependent renewal risk model with constant interest rates
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

This page was built for publication: On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q281847)