On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
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Publication:281847
DOI10.1016/j.jmaa.2016.04.042zbMath1336.91047MaRDI QIDQ281847
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
Lévy process; finite-time ruin probability; bidimensional risk model; consistent variation; stochastic return
60G51: Processes with independent increments; Lévy processes
60K10: Applications of renewal theory (reliability, demand theory, etc.)
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