Limit property of the delayed risk model under dependent claims and investment

DOI10.13885/J.ISSN.0455-2059.2017.05.021MaRDI QIDQ3175172zbMATH OpenFDO

Authors Hongmin Xiao, Ailing Liu, Yan He

Publication date 18 July 2018

zbMATH Keywords

geometric Brownian motionfinite-time ruin probabilityheavy-tailed distributionsnegatively dependentdelayed risk model

Mathematics Subject Classification ID

Portfolio theory (91G10) Strong limit theorems (60F15)

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Cited in

(2)

• scientific article; zbMATH DE number 1501700 (Why is no real title available?)
• Asymptotic ruin probabilities with delayed-claims risk model under proportional investment

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