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

DOI10.1002/asmb.1925zbMath1288.91119OpenAlexW2054234582MaRDI QIDQ5414542

Fenglong Guo, Ding Cheng Wang

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.1925

zbMATH Keywords

ruin probabilityLévy processheavy tailrenewal risk modelone-sided linear processinvestment return process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (13)

Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns ⋮ Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ 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 ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment 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 ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks

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