Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments

被引：5

作者：

Fu, Ke-Ang ^{[1
]}

Ng, Cheuk Yin Andrew ^{[2
]}

机构：

[1] Zhejiang Gongshang Univ, Sch Math & Stat, Hangzhou 310018, Zhejiang, Peoples R China

[2] Chinese Univ Hong Kong, Dept Finance, Shatin, Hong Kong, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 125卷

关键词：

Dominatedly varying tail; Farlie-Gumbel-Morgenstern distribution; Long tail; Investment return; Ruin; DISCOUNTED AGGREGATE CLAIMS; CONSTANT INTEREST FORCE; OPTIMAL PORTFOLIOS; RETURN; TAILS;

D O I：

10.1016/j.spl.2017.02.015

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：

Consider a two-dimensional renewal risk model, in which the independent and identically distributed claim-size random vectors follow a common bivariate Farlie-Gumbel-Morgenstern distribution. Assuming that the surplus is invested in a portfolio whose return follows a Levy process and that the claim-size distribution is heavy-tailed, uniformly asymptotic estimates for two kinds of finite-time ruin probabilities of the two-dimensional risk model are obtained. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：227 / 235

页数：9

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