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Article: The finite-time ruin probability of a risk model with a general counting process and stochastic return

TitleThe finite-time ruin probability of a risk model with a general counting process and stochastic return
Authors
Xun, BWang, KYuen, KC
KeywordsFinite-time ruin probability
Stochastic return
Lévy process
Dependence structure
General risk model
Issue Date2022
PublisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816
Citation
Journal of Industrial and Management Optimization, 2022, v. 18 n. 3, p. 1541-1556 How to Cite?
DOI: http://dx.doi.org/10.3934/jimo.2021032
AbstractThis paper considers a general risk model with stochastic return and a Brownian perturbation, where the claim arrival process is a general counting process and the price process of the investment portfolio is expressed as a geometric Lévy process. When the claim sizes are pairwise strong quasi-asymptotically independent random variables with heavy-tailed distributions, the asymptotics of the finite-time ruin probability of this risk model have been obtained.
Persistent Identifierhttp://hdl.handle.net/10722/306528
ISSN
1547-5816
2023 Impact Factor: 1.2
2023 SCImago Journal Rankings: 0.364
ISI Accession Number ID
WOS:000705604300001

 

DC FieldValueLanguage
dc.contributor.authorXun, B-
dc.contributor.authorWang, K-
dc.contributor.authorYuen, KC-
dc.date.accessioned2021-10-22T07:35:54Z-
dc.date.available2021-10-22T07:35:54Z-
dc.date.issued2022-
dc.identifier.citationJournal of Industrial and Management Optimization, 2022, v. 18 n. 3, p. 1541-1556-
dc.identifier.issn1547-5816-
dc.identifier.urihttp://hdl.handle.net/10722/306528-
dc.description.abstractThis paper considers a general risk model with stochastic return and a Brownian perturbation, where the claim arrival process is a general counting process and the price process of the investment portfolio is expressed as a geometric Lévy process. When the claim sizes are pairwise strong quasi-asymptotically independent random variables with heavy-tailed distributions, the asymptotics of the finite-time ruin probability of this risk model have been obtained.-
dc.languageeng-
dc.publisherAmerican Institute of Mathematical Sciences. The Journal's web site is located at https://www.aimsciences.org/journal/1547-5816-
dc.relation.ispartofJournal of Industrial and Management Optimization-
dc.rightsJournal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences.-
dc.rightsThis is a pre-copy-editing, author-produced PDF of an article accepted for publication in [insert journal title] following peer review. The definitive publisher-authenticated version [insert complete citation information here] is available online at: xxxxxxx [insert URL that the author will receive upon publication here].-
dc.subjectFinite-time ruin probability-
dc.subjectStochastic return-
dc.subjectLévy process-
dc.subjectDependence structure-
dc.subjectGeneral risk model-
dc.titleThe finite-time ruin probability of a risk model with a general counting process and stochastic return-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.3934/jimo.2021032-
dc.identifier.hkuros328392-
dc.identifier.volume18-
dc.identifier.issue3-
dc.identifier.spage1541-
dc.identifier.epage1556-
dc.identifier.isiWOS:000705604300001-
dc.publisher.placeUnited States-

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