Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims

DOI10.1360/012016-4zbMath1499.62377MaRDI QIDQ5063667

Wei Zhang, Fenglong Guo, Ding Cheng Wang

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012016-4

zbMATH Keywords

Lévy process; heavy tail; renewal risk model; time-dependence; one-sided linear process; investment return process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

91B05: Risk models (general)

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