Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang,Yahui Fan and Kam Chuen Yuen
| Year of publication: |
2023
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|---|---|
| Authors: | Yang Yang ; Fan, Yahui ; Yuen, Kam Chuen |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2024.2024, 4, p. 361-382
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| Subject: | Asymptotics | finite-time ruinprobability | systematicfactors | insurance claims | investment return jumps | Risikomodell | Risk model | Risiko | Risk | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | CAPM | Risikomanagement | Risk management | Versicherungsmathematik | Actuarial mathematics | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2023.2256508 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014520551