Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
Author:
Affiliation:
1. School of Mathematical Sciences, Dalian University of Technology, Dalian, China
Funder
Humanities and Social Science Foundation of the Ministry of Education of China
Fundamental Research Funds for the Central Universities
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2034868
Reference32 articles.
1. Regular variation of GARCH processes
2. Bauer, D., and G. Zanjani. 2014. The marginal cost of risk in a multi-period risk model. Technical Report, Robinson College of Business, Georgia State University.
3. Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
4. Dependence properties and bounds for ruin probabilities in multivariate compound risk models
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