Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process

DOI10.1007/S10255-021-1050-8zbMATH Open1476.91134OpenAlexW3206795844MaRDI QIDQ2240667FDOQ2240667

Authors: Yang Yang, Kam Chuen Yuen, Junfeng Liu 

Publication date: 4 November 2021

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-021-1050-8

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zbMATH Keywords

finite-time ruin probabilityuniformitydominated variationupper tail asymptotic independencestochastic log-return process on investments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

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• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
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Cited In (10)

• Optimal investment of a time-dependent renewal risk model with stochastic return
• Equilibrium reinsurance strategy and mean residual life function
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Finite- and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims
• The perturbed compound Poisson risk model with proportional investment
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• Analysis of a dependent perturbed renewal risk model with heavy-tailed distributions

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