Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

DOI10.1016/j.insmatheco.2009.12.002zbMath1231.91414OpenAlexW2091212756MaRDI QIDQ659236

Guo-jing Wang, Kam-Chuen Yuen, Qi-he Tang

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.002

zbMATH Keywords

asymptoticsregular variationuniformityportfolio optimizationruin probabilityLévy processconstant investment strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Renewal theory (60K05)

Related Items (34)

Optimal investment of a time-dependent renewal risk model with stochastic return ⋮ Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns ⋮ Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models ⋮ Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper Orthant dependent claims ⋮ Uniform asymptotics for discounted aggregate claims in dependent multi-risk model ⋮ Tail asymptotic of discounted aggregate claims with compound dependence under risky investment ⋮ Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims ⋮ 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 a nonstandard compound renewal risk model with dependence structures and stochastic return on investments ⋮ Large deviations for the stochastic present value of aggregate claims in the renewal risk model ⋮ Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ Ruin probabilities of a bidimensional risk model with investment ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims ⋮ Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models ⋮ Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails ⋮ Asymptotics for a bidimensional risk model with two geometric Lévy price processes ⋮ A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes

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