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

DOI10.1080/03610926.2013.815210zbMath1419.62297OpenAlexW1880529625MaRDI QIDQ2796933

Fenglong Guo, Ding Cheng Wang

Publication date: 30 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.815210

zbMATH Keywords

ruin probabilityLévy processheavy tailrenewal risk modelinvestment return processtwo-sided linear process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns, Tail asymptotic of discounted aggregate claims with compound dependence under risky investment, Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return

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