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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Section: Articles
Title: Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims / Ke-Ang Fu, Cheuk Yin Andrew NgAuthor: Fu, Ke-Ang ‌
Notes: Sumario: Consider a continuous-time renewal risk model, in which the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. Suppose that the surplus is invested in a portfolio whose return follows a Lévy process. When the claim-size distribution is dominatedly-varying tailed, asymptotic estimates for the finite- and infinite-horizon ruin probabilities are obtained.

Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 Other categories: 6
Rights: In Copyright (InC)
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