Fu, Ke-Ang; Ng, Cheuk Yin Andrew - In: Insurance: Mathematics and Economics 56 (2014) C, pp. 80-87
Consider a continuous-time renewal risk model, in which the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. Suppose that the surplus is invested in a portfolio whose return follows a Lévy...