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Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns.
- Source :
- Communications in Statistics: Theory & Methods; 2024, Vol. 53 Issue 5, p1624-1652, 29p
- Publication Year :
- 2024
-
Abstract
- In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Lévy process. We further assume that the main claim is a one-sided linear process and there exists a certain dependence structure between the innovations and by-claims. In the presence of heavy tails, we obtain a series of uniform formulas in finite and infinite intervals. In order to better describe the obtained results, we carry on the numerical simulations. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 53
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 174795734
- Full Text :
- https://doi.org/10.1080/03610926.2022.2107223