Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims

zbMATH Open1399.62173MaRDI QIDQ4642969FDOQ4642969

Authors: Jialin Ni, Ke-Ang Fu, Huijie Li 

Publication date: 25 May 2018

Recommendations

• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Asymptotic ruin probabilities for a bidimensional renewal risk model

zbMATH Keywords

ruin probabilitybidimensional risk modelconsistent variationby-claiminvestment return

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• A note on a by-claim risk model: Asymptotic results

This page was built for publication: Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4642969)