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- Publisher Website: 10.1007/s13160-020-00406-2
- Scopus: eid_2-s2.0-85079505017
- WOS: WOS:000517420800001
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Article: The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
| Title | The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation |
|---|---|
| Authors | |
| Keywords | Brownian perturbation Finite-time ruin probability Heavy-tailed distribution Lévy process |
| Issue Date | 2020 |
| Publisher | Springer Japan KK. The Journal's web site is located at http://www.springer.com/math/applications/journal/13160 |
| Citation | Japan Journal of Industrial and Applied Mathematics, 2020, Epub 2020-02-13 How to Cite? |
| Abstract | This paper considers a dependent risk model with stochastic return and Brownian perturbation, where there exists a dependence structure between the claim sizes and the inter-arrival times and the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have heavy-tailed distributions, the asymptotic lower and upper bounds of the finite-time ruin probability have been given. |
| Persistent Identifier | http://hdl.handle.net/10722/281705 |
| ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.307 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Xun, B | - |
| dc.contributor.author | Wang, K | - |
| dc.contributor.author | Yuen, KC | - |
| dc.date.accessioned | 2020-03-22T04:18:33Z | - |
| dc.date.available | 2020-03-22T04:18:33Z | - |
| dc.date.issued | 2020 | - |
| dc.identifier.citation | Japan Journal of Industrial and Applied Mathematics, 2020, Epub 2020-02-13 | - |
| dc.identifier.issn | 0916-7005 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/281705 | - |
| dc.description.abstract | This paper considers a dependent risk model with stochastic return and Brownian perturbation, where there exists a dependence structure between the claim sizes and the inter-arrival times and the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have heavy-tailed distributions, the asymptotic lower and upper bounds of the finite-time ruin probability have been given. | - |
| dc.language | eng | - |
| dc.publisher | Springer Japan KK. The Journal's web site is located at http://www.springer.com/math/applications/journal/13160 | - |
| dc.relation.ispartof | Japan Journal of Industrial and Applied Mathematics | - |
| dc.rights | This is a post-peer-review, pre-copyedit version of an article published in [insert journal title]. The final authenticated version is available online at: https://doi.org/[insert DOI] | - |
| dc.subject | Brownian perturbation | - |
| dc.subject | Finite-time ruin probability | - |
| dc.subject | Heavy-tailed distribution | - |
| dc.subject | Lévy process | - |
| dc.title | The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation | - |
| dc.type | Article | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.authority | Yuen, KC=rp00836 | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1007/s13160-020-00406-2 | - |
| dc.identifier.scopus | eid_2-s2.0-85079505017 | - |
| dc.identifier.hkuros | 309456 | - |
| dc.identifier.volume | Epub 2020-02-13 | - |
| dc.identifier.isi | WOS:000517420800001 | - |
| dc.publisher.place | Japan | - |
| dc.identifier.issnl | 0916-7005 | - |