| Autor: |
Zou, Lei, Peng, Jiangyan, Jiang, Zhiquan, Yang, Ruonan |
| Předmět: |
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| Zdroj: |
Communications in Statistics: Theory & Methods; 2024, Vol. 53 Issue 5, p1624-1652, 29p |
| Abstrakt: |
In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Lévy process. We further assume that the main claim is a one-sided linear process and there exists a certain dependence structure between the innovations and by-claims. In the presence of heavy tails, we obtain a series of uniform formulas in finite and infinite intervals. In order to better describe the obtained results, we carry on the numerical simulations. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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