Consider a continuous-time renewal risk model, in which the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. Suppose that the surplus is invested in a portfolio whose return follows a Lévy...

Consider a nearly nonstationary AR(1) model, Xt=θnXt−1+ut, where θn=1−γ/n, γ is a fixed constant, and the innovations are in the domain of attraction of the normal law with possibly infinite variance. As for the least squares estimator θˆn of θn, we propose to use a residual-based...