Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

DOI10.3934/jimo.2016010zbMath1367.60106OpenAlexW2332853184MaRDI QIDQ2358481

Jiangyan Peng, Ding Cheng Wang

Publication date: 15 June 2017

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2016010

zbMATH Keywords

ruin probabilityLévy processstochastic investment returnsrenewal risk modelbivariate Sarmanov distributionone-sided linear processdominatedly-varying tails

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Related Items (12)

The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Optimal investment problem between two insurers with value-added service ⋮ Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ Precise large deviations for the aggregate claims in a dependent compound renewal risk model ⋮ The absolute ruin insurance risk model with a threshold dividend strategy ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes

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