Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims

DOI10.3934/jimo.2017044zbMath1412.91059MaRDI QIDQ1716939

Yang Yang, Kam-Chuen Yuen, Jun-Feng Liu

Publication date: 5 February 2019

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2017044

zbMATH Keywords

asymptotics; consistent variation; finite-time and infinite-time ruin probabilities; dominated variation; long tail; Lévy-driven risk model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60K05: Renewal theory

Related Items

Uniform asymptotics for finite-time ruin probability of a bidimensional risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Randomly weighted sums of subexponential random variables with application to capital allocation
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Asymptotics for ruin probability of some negatively dependent risk models with a constant interest rate and dominatedly-varying-tailed claims
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Integrated insurance risk models with exponential Lévy investment
• Subexponentiality of the product of independent random variables
• Regular variation in the tail behaviour of solutions of random difference equations
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Power tailed ruin probabilities in the presence of risky investments.
• In the insurance business risky investments are dangerous
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Present value distributions with applications to ruin theory and stochastic equations
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
• An Introduction to Heavy-Tailed and Subexponential Distributions
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin theory with stochastic return on investments
• Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments
• Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
• Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
• Finite-Time Ruin Probability with Heavy-Tailed Claims and Constant Interest Rate
• Weighted sums of subexponential random variables and their maxima