Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
Author:
Funder
National Natural Science Foundation of China
Science and Technology projects of Sichuan Province
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
https://link.springer.com/content/pdf/10.1007/s13160-022-00542-x.pdf
Reference30 articles.
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2. Bankovsky, D., Klüppelberg, C., Maller, R.: On the ruin probability of the generalised Ornstein-Uhlebeck process in the Cramér case. J. Appl. Prob. 48, 15–28 (2011)
3. Bingham, N.H., Goldie, C.M., Teugels, J.L.: Regular Variation. Cambridge University Press, Cambridge (1987)
4. Breiman, L.: On some limit theorems similar to the arc-sin law. Theory Prob. Appl. 10, 351–360 (1965)
5. Chen, Y.: The finite-time ruin probability with dependent insurance and financial risks. J. Appl. Prob. 48(4), 1035–1048 (2016)
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