Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Ke-ang Fu; Cheuk Yin Andrew Ng
Year of publication: |
2014
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Authors: | Fu, Ke-ang ; Ng, Cheuk Yin Andrew |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 56.2014, p. 80-87
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Subject: | Dominated varying tails | Lévy process | Ruin probability | Stochastic returns | The time-dependent renewal risk model | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomodell | Risk model | Finanzmathematik | Mathematical finance | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory |
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