Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks
Author:
Affiliation:
1. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2024.2318606
Reference20 articles.
1. Extremes on the discounted aggregate claims in a time dependent risk model
2. A two-dimensional ruin problem on the positive quadrant
3. Bingham, N. H., C. M. Goldie, and J. L. Teugels. 1987. Regular variation. Cambridge: Cambridge University Press.
4. Chen Z. M. Li and D. Cheng. 2023. Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns. Stochastics. doi:10.1080/17442508.2023.2236743.
5. Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
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