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Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Levy process investment returns and dependent claims

Guo, Fenglong; Wang, Dingcheng


This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk-free asset and one risky asset whose price process is an exponentia

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
Source: Applied Stochastic Models in Business and Industry
DOI: 10.1002/asmb.1925


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