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Article: Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns

TitleAsymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Authors
Guo, FWang, DYang, H
KeywordsInvestment return
Regular variation
Ruin probability
Sarmanov dependence
Two-dimensional risk model
Issue Date2017
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam
Citation
Journal of Computational and Applied Mathematics, 2017, v. 325, p. 198-221 How to Cite?
DOI: http://dx.doi.org/10.1016/j.cam.2017.04.049
Persistent Identifierhttp://hdl.handle.net/10722/245293
ISSN
0377-0427
2021 Impact Factor: 2.872
2020 SCImago Journal Rankings: 0.876
ISI Accession Number ID
WOS:000404308000015

 

DC FieldValueLanguage
dc.contributor.authorGuo, F-
dc.contributor.authorWang, D-
dc.contributor.authorYang, H-
dc.date.accessioned2017-09-18T02:08:04Z-
dc.date.available2017-09-18T02:08:04Z-
dc.date.issued2017-
dc.identifier.citationJournal of Computational and Applied Mathematics, 2017, v. 325, p. 198-221-
dc.identifier.issn0377-0427-
dc.identifier.urihttp://hdl.handle.net/10722/245293-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam-
dc.relation.ispartofJournal of Computational and Applied Mathematics-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectInvestment return-
dc.subjectRegular variation-
dc.subjectRuin probability-
dc.subjectSarmanov dependence-
dc.subjectTwo-dimensional risk model-
dc.titleAsymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns-
dc.typeArticle-
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.cam.2017.04.049-
dc.identifier.scopuseid_2-s2.0-85019761468-
dc.identifier.hkuros278173-
dc.identifier.volume325-
dc.identifier.spage198-
dc.identifier.epage221-
dc.identifier.isiWOS:000404308000015-
dc.publisher.placeNetherlands-
dc.identifier.issnl0377-0427-

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