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

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same asymptotic formula holds for the finite-time and infinite-time ruin probabilities. Restricting our attention to the so-called constant investment strategy, we show how the insurer adjusts his investment portfolio to maximize the expected terminal wealth subject to a constraint on the ruin probability.     

On Fiber Coefficients of Fiber Cones †

Let (R,𝔪) be a Cohen–Macaulay local ring of dimension d > 0, I an 𝔪-primary ideal of R, and K an ideal containing I. When depth G(I) ≥ d ? 1, depth F_K(I) ≥ d ? 2, and r(I|K) < ∞, we calculate the fiber coefficients f_i(I). Under the above assumptions on depth G(I) and r(I|K), we give an upper bound for f₁(I), and also provide a characterization, in terms of f₁(I), of the condition depth F_K(I) ≥ d ? 2.     

The Augmentation Quotients of the Groups of Order 25, II

We have described the structure of Q _n (G) = Δ ⁿ (G)/Δ ⁿ⁺¹(G) for 35 particular classes of groups G with order 2⁵ in the previous article. In this article, the structure of Q _n (G) for all the remaining classes of groups G with order 2⁵ are presented.     

Tail behavior of the product of two dependent random variables with applications to risk theory

Let the random vector (X,Y) follow a bivariate Sarmanov distribution, where X is real-valued and Y is nonnegative. In this paper we investigate the impact of such a dependence structure between X and Y on the tail behavior of their product Z?=?XY. When X has a regularly varying tail, we establish an asymptotic formula, which extends Breiman’s theorem. Based on the obtained result, we consider a discrete-time insurance risk model with dependent insurance and financial risks, and derive the asymptotic and uniformly asymptotic behavior for the (in)finite-time ruin probabilities.     

Universal Teichmüller space and BMO

We first give some new characterizations on BMOA–Teichmüller space and various characterizations on VMOA–Teichmüller space as well. In particular, we prove that a quasisymmetric conformal welding h$h$ corresponds to an asymptotically smooth curve in the sense of Pommerenke (1978) [32] precisely when h$h$ is absolutely continuous with logh^′∈VMO$log{h}^{\prime }\in \text{VMO}$. We then show that these BMO–Teichmüller spaces have natural complex structures.     

A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk

In this article, we study the counterparty risk on a credit default swap (CDS) and the valuation of a first-to-default basket swap on three underlyings under a common shock model with regime-switching intensities. We assume that the defaults of all the names are driven by some shock events, whose arrivals are governed by a multivariate regime-switching shot noise process. Based on some expressions for the joint Laplace transform of the regime-switching shot noise processes, we give explicit formulas for the spread of the CDS contract with and without counterparty risk and the spread of the first-to-default basket swap on the three underlyings.