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Finite-and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims

Guo, Fenglong; Wang, Dingcheng


In this paper we investigate the asymptotic behaviors of the finite- and infinite-time ruin probabilities for a Poisson risk model with stochastic investment returns which constitute a general adapted cadlag process and heavy-tailed claim sizes which are

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: Advances in Applied Probability
DOI: 10.1239/aap/1363354110


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