Journal ArticleDOI
Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns
Lei Zou,Jiangyan Peng,Zhiquan Jiang,Ruonan Yang +3 more
- pp 1-29
TLDR
In this paper , a renewal risk model with by-claims was considered, where the price process of the investment portfolio followed an exponential Lévy process and the main claim was a one-sided linear process.Abstract:
In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Lévy process. We further assume that the main claim is a one-sided linear process and there exists a certain dependence structure between the innovations and by-claims. In the presence of heavy tails, we obtain a series of uniform formulas in finite and infinite intervals. In order to better describe the obtained results, we carry on the numerical simulations. read more
References
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Journal ArticleDOI
Subexponentiality of the product of independent random variables
TL;DR: In this article, the behavior of P(X> t) and P(Y>t) when X has a subexponential distribution was studied. But the authors focused on obtaining sufficient conditions on I (Y > t) for X to have a sub-exponential distributions, and they only considered the special cases where the former satisfies one of the extensions of regular variation.
Journal ArticleDOI
Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate
TL;DR: In this article, an asymptotically equivalent formula for the finite-time ruin probability of a nonstandard risk model with a constant interest rate, in which both claim sizes and inter-arrival times follow a certain dependence structure, was given.
Journal ArticleDOI
Tail probabilities of randomly weighted sums of random variables with dominated variation
Dingcheng Wang,Qihe Tang +1 more
TL;DR: In this paper, the authors investigated the asymptotic behavior of tail probabilities of randomly weighted sums of independent heavy-tailed random variables, where the weights form another sequence of nonnegative and arbitrarily dependent random variables.
Journal ArticleDOI
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
Xuemiao Hao,Qihe Tang +1 more
TL;DR: In this paper, the authors studied the tail probability of discounted aggregate claims in a continuous-time renewal model and obtained an asymptotic formula, which holds uniformly for all time horizons within a finite interval.
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