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

Fenglong Guo, Dingcheng Wang*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    15 Citations (Scopus)

    Abstract

    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 Lévy 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.

    Original languageEnglish
    Pages (from-to)295-313
    Number of pages19
    JournalApplied Stochastic Models in Business and Industry
    Volume29
    Issue number3
    DOIs
    Publication statusPublished - May 2013

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