Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns

被引:0
作者
Zou, Lei [1 ]
Peng, Jiangyan [1 ]
Jiang, Zhiquan [1 ]
Yang, Ruonan [1 ]
机构
[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu, Sichuan, Peoples R China
基金
中国国家自然科学基金;
关键词
By-claims; Levy investment return; quasi-asymptotic independence; one-sided linear process; Brownian motion; DISCOUNTED AGGREGATE CLAIMS; RANDOM-VARIABLES; CONSTANT FORCE;
D O I
10.1080/03610926.2022.2107223
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Levy 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.
引用
收藏
页码:1624 / 1652
页数:29
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