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- Publisher Website: 10.1016/j.cam.2017.02.004
- Scopus: eid_2-s2.0-85015415780
- WOS: WOS:000400878000010
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Article: Asymptotics for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations
Title | Asymptotics for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations |
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Authors | |
Keywords | Crude Monte-Carlo simulation Discrete-time risk model with insurance and financial risks Dominated variation Pairwise asymptotical independence Ruin probability |
Issue Date | 2017 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam |
Citation | Journal of Computational and Applied Mathematics, 2017, v. 321, p. 143-159 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/246117 |
ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.858 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Yang, Y | - |
dc.contributor.author | Zhang, T | - |
dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2017-09-18T02:22:43Z | - |
dc.date.available | 2017-09-18T02:22:43Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Journal of Computational and Applied Mathematics, 2017, v. 321, p. 143-159 | - |
dc.identifier.issn | 0377-0427 | - |
dc.identifier.uri | http://hdl.handle.net/10722/246117 | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/cam | - |
dc.relation.ispartof | Journal of Computational and Applied Mathematics | - |
dc.rights | Posting accepted manuscript (postprint): © <year>. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.subject | Crude Monte-Carlo simulation | - |
dc.subject | Discrete-time risk model with insurance and financial risks | - |
dc.subject | Dominated variation | - |
dc.subject | Pairwise asymptotical independence | - |
dc.subject | Ruin probability | - |
dc.title | Asymptotics for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations | - |
dc.type | Article | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.identifier.doi | 10.1016/j.cam.2017.02.004 | - |
dc.identifier.scopus | eid_2-s2.0-85015415780 | - |
dc.identifier.hkuros | 277426 | - |
dc.identifier.volume | 321 | - |
dc.identifier.spage | 143 | - |
dc.identifier.epage | 159 | - |
dc.identifier.isi | WOS:000400878000010 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0377-0427 | - |