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

被引：17

作者：

Guo, Fenglong ^{[1
]}

Wang, Dingcheng ^{[1
,2
,3
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 610054, Peoples R China

[2] Nanjing Audit Univ, Nanjing, Jiangsu, Peoples R China

[3] Australian Natl Univ, Canberra, ACT, Australia

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2013年 / 29卷 / 03期

基金：

中国国家自然科学基金;

关键词：

heavy tail; one-sided linear process; investment return process; ruin probability; Levy process; renewal risk model; CONSTANT INTEREST-RATE; HEAVY-TAILED CLAIMS; OPTIMAL PORTFOLIOS; STOCHASTIC RETURN; AGGREGATE CLAIMS; RANDOM-VARIABLES; INSURANCE;

D O I：

10.1002/asmb.1925

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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 exponential Levy process. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed step sizes. When the step-size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright (c) 2012 John Wiley & Sons, Ltd.

引用

页码：295 / 313

页数：19

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