Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Levy Process Investment Returns and Two-sided Linear Heavy-tailed Claims

作者：Guo, Fenglong; Wang, Dingcheng^*

来源：Communications in Statistics - Theory and Methods, 2015, 44(20): 4278-4306.

DOI：10.1080/03610926.2013.815210

• Heavy tail
• Investment return process
• Levy process
• Renewal risk model
• Ruin probability
• Two-sided linear process

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 Levy process. The claim sizes are assumed to follow a two-sided linear process with independent and identically distributed step sizes. When the step-size distribution is heavy tailed, the paper establishes some uniform asymptotic formulas of ruin probabilities.

• 出版日期2015
• 单位电子科技大学; 南京审计大学