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 language | English |
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Pages (from-to) | 295-313 |
Number of pages | 19 |
Journal | Applied Stochastic Models in Business and Industry |
Volume | 29 |
Issue number | 3 |
DOIs | |
Publication status | Published - May 2013 |