Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks
DOI10.1080/03610926.2012.715711zbMath1458.62258OpenAlexW2030793053MaRDI QIDQ2876190
Publication date: 18 August 2014
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.715711
subexponential distributionfinite-time ruin probabilityGumbel maximum domain of attractiondiscrete-time risk model with insurance and financial risksextended-varying-tailed distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)
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