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• W2028399302 abstract "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 càdlàg process and heavy-tailed claim sizes which are bivariate upper tail independent. The results of this paper show that the asymptotic ruin probabilities are dominated by the extreme of insurance risk but not by that of investment risk. As applications of the results, we discuss four special cases when the investment returns are determined by a fractional Brownian motion, an integrated Vasicek model, an integrated Cox–Ingersoll–Ross model, and the Heston model." @default.
• W2028399302 created "2016-06-24" @default.
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• W2028399302 date "2013-03-01" @default.
• W2028399302 modified "2023-09-26" @default.
• W2028399302 title "Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims" @default.
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• W2028399302 doi "https://doi.org/10.1239/aap/1363354110" @default.
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