Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2016010 ◽

2017 ◽

Vol 13 (1) ◽

pp. 155-185 ◽

Author(s):

Jiangyan Peng ◽

◽

Dingcheng Wang ◽

Keyword(s):

Lévy Process ◽

Levy Process ◽

Ruin Probabilities ◽

Renewal Risk Model ◽

Investment Returns ◽

Exponential Lévy Process ◽

Renewal Risk ◽

Dependence Structures

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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

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2014.04.001 ◽

2014 ◽

Vol 56 ◽

pp. 80-87 ◽

Author(s):

Ke-Ang Fu ◽

Cheuk Yin Andrew Ng

Keyword(s):

Ruin Probability ◽

Lévy Process ◽

Levy Process ◽

Time Dependent ◽

Renewal Risk Model ◽

Investment Returns ◽

Renewal Risk ◽

Geometric Levy Process

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Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.1925 ◽

2012 ◽

Vol 29 (3) ◽

pp. 295-313 ◽

Author(s):

Fenglong Guo ◽

Dingcheng Wang

Keyword(s):

Lévy Process ◽

Levy Process ◽

Ruin Probabilities ◽

Asymptotic Estimates ◽

Risk Models ◽

Investment Returns ◽

Exponential Lévy Process ◽

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Infinite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2016058 ◽

2017 ◽

Vol 13 (2) ◽

pp. 995-1007 ◽

Author(s):

Rongfei Liu ◽

◽

Dingcheng Wang ◽

Jiangyan Peng ◽

Keyword(s):

Ruin Probability ◽

Lévy Process ◽

Levy Process ◽

Infinite Time ◽

Arrival Times ◽

Renewal Risk Model ◽

Exponential Lévy Process ◽

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Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2013.815210 ◽

2015 ◽

Vol 44 (20) ◽

pp. 4278-4306 ◽

Author(s):

Fenglong Guo ◽

Dingcheng Wang

Keyword(s):

Lévy Process ◽

Levy Process ◽

Ruin Probabilities ◽

Asymptotic Estimates ◽

Investment Returns ◽

Exponential Lévy Process ◽

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Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1995754 ◽

2021 ◽

pp. 1-25

Author(s):

Zhiquan Jiang ◽

Jiangyan Peng ◽

Lei Zou

Keyword(s):

Time Dependent ◽

Ruin Probabilities ◽

Uniform Asymptotics ◽

Renewal Risk Model ◽

Stochastic Returns ◽

Renewal Risk ◽

Dependence Structures

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Asymptotic ruin probabilities for a bidimensional renewal risk model

Stochastics ◽

10.1080/17442508.2016.1276909 ◽

2017 ◽

Vol 89 (5) ◽

pp. 687-708 ◽

Author(s):

Haizhong Yang ◽

Jinzhu Li

Keyword(s):

Ruin Probabilities ◽

Renewal Risk Model ◽

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Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

Japan Journal of Industrial and Applied Mathematics ◽

10.1007/s13160-020-00418-y ◽

2020 ◽

Vol 37 (3) ◽

pp. 657-675

Author(s):

Dongya Cheng ◽

Yang Yang ◽

Xinzhi Wang

Keyword(s):

Finite Time ◽

Ruin Probabilities ◽

Renewal Risk Model ◽

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Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2016.04.068 ◽

2016 ◽

Vol 442 (2) ◽

pp. 600-626 ◽

Author(s):

Yang Yang ◽

Kam C. Yuen

Keyword(s):

Finite Time ◽

Ruin Probabilities ◽

Two Dimensional ◽

Infinite Time ◽

Renewal Risk Model ◽

Delayed Renewal Risk Model ◽

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Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments

Statistics & Probability Letters ◽

10.1016/j.spl.2017.02.015 ◽

2017 ◽

Vol 125 ◽

pp. 227-235 ◽

Author(s):

Ke-Ang Fu ◽

Cheuk Yin Andrew Ng

Keyword(s):

Ruin Probabilities ◽

Uniform Asymptotics ◽

Two Dimensional ◽

Renewal Risk Model ◽

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Second order asymptotics for ruin probabilities of the delayed renewal risk model with heavy-tailed claims

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2019.1648828 ◽

2019 ◽

pp. 1-10

Author(s):

Jianxi Lin

Keyword(s):

Second Order ◽

Ruin Probabilities ◽

Renewal Risk Model ◽

Delayed Renewal Risk Model ◽

Heavy Tailed ◽

Renewal Risk ◽

Second Order Asymptotics

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