ASYMPTOTICS FOR RUIN PROBABILITIES OF A NON-STANDARD RENEWAL RISK MODEL WITH DEPENDENCE STRUCTURES AND EXPONENTIAL LEVY PROCESS INVESTMENT RETURNS

作者：Peng, Jiangyan; Wang, Dingcheng^*

来源：Journal of Industrial and Management Optimization, 2017, 13(1): 155-185.

DOI：10.3934/jimo.2016010

• Dominatedly-varying tails
• one-sided linear process
• bivariate Sarmanov distribution
• Levy process
• stochastic investment returns
• ruin probability
• renewal risk model

Consider a non-standard renewal risk model with dependence structures, where claim sizes follow a one-sided linear process with independent and identically distributed step sizes, the step sizes and inter-arrival times respectively form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. An insurance company is allowed to make risk-free and risky investments, where the price process of the investment portfolio follows an exponential Levy process. When the step-size distribution is dominatedly-varying-tailed, some asymptotic estimates for the finite-and infinite-time ruin probabilities are obtained.

• 出版日期2017-1
• 单位电子科技大学