Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims |
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| Authors: | Fenglong Guo Dingcheng Wang |
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| Affiliation: | 1. School of Mathematical Sciences, University of Electronic Science and Technology of China, , Chengdu, China;2. Nanjing Audit University, , Nanjing, China;3. Australian National University, , Canberra, Australia |
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| 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 exponential Lévy process. The claim sizes are assumed to follow a one‐sided linear process with independent and identically distributed step sizes. When the step‐size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright © 2012 John Wiley & Sons, Ltd. |
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| Keywords: | heavy tail one‐sided linear process investment return process ruin probability Lé vy process renewal risk model |
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