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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

✍ Scribed by Fu, Ke-Ang; Ng, Cheuk Yin Andrew


Book ID
121740805
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
416 KB
Volume
56
Category
Article
ISSN
0167-6687

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✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 2 views

In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty