Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
Jinzhu Li
| Year of publication: |
November 2016
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| Authors: | Li, Jinzhu |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 195-204
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| Subject: | Asymptotics | Dependence | Lévy process | Multi-dimensional risk model | Multivariate regular variation | Stochastic return | Ruin probability | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Risikomodell | Risk model | Multivariate Analyse | Multivariate analysis | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630650