INFINITE-TIME RUIN PROBABILITY OF ARE NEWAL RISK MODEL WITH EXPONENTIAL LEVY PROCESS INVESTMENT AND DEPENDENT CLAIMS AND INTER-ARRIVAL TIMES

被引：1
|
作者：
Liu, Rongfei [1 ]
Wang, Dingcheng [1 ,2 ]
Peng, Jiangyan [1 ]
机构：
[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Peoples R China
[2] Nanjing Audit Univ, Ctr Financial Engn, Nanjing 211815, Jiangsu, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2017年 / 13卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Asymptotic estimate; ruin probability; heavy tail; exponential Levy process investment; dependent claims and inter-arrival times; OPTIMAL PORTFOLIOS; ASYMPTOTICS; INSURANCE; RETURNS;
D O I：
10.3934/jimo.2016058
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We investigate the in finite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times. Assume that claims and corresponding inter-arrival times form a sequence of independent and identically distributed copies of a random pair (X, T) with dependent components. When the product of the claims and the discount factors of the corresponding inter-arrival times are heavy tailed, we establish an asymptotic formula for the in finite-time ruin probability without any restriction on the dependence structure of (X, T).
引用
收藏
页码：995 / 1007
页数：13
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