Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

DOI10.3934/JIMO.2016010zbMATH Open1367.60106OpenAlexW2332853184MaRDI QIDQ2358481FDOQ2358481

Authors: Jiangyan Peng, Dingcheng Wang 

Publication date: 15 June 2017

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

Full work available at URL: https://doi.org/10.3934/jimo.2016010

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zbMATH Keywords

ruin probabilityrenewal risk modelbivariate Sarmanov distributionstochastic investment returnsone-sided linear processdominatedly-varying tailsLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Cites Work

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Cited In (19)

• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• The absolute ruin insurance risk model with a threshold dividend strategy
• 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
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Optimal investment problem between two insurers with value-added service
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
• Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times

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