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

Date

Authors

Guo, Fenglong

Wang, Dingcheng

Publisher

Wiley Interscience

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 exponentia

Keywords

Keywords: Heavy-tails; Investment returns; Linear process; Renewal risk models; Ruin Probability; Investments; Risk assessment; Probability heavy tail; investment return process; Lévy process; one-sided linear process; renewal risk model; ruin probability

URI

http://hdl.handle.net/1885/77629

Collections

ANU Research Publications

Source

Applied Stochastic Models in Business and Industry

Type

Journal article

DOI

10.1002/asmb.1925

Restricted until

2037-12-31

Downloads

File

Description

01_Guo_Uniform_asymptotic_estimates_2013.pdf (197.1 KB)