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

DOI10.3934/JIMO.2016010MaRDI QIDQ2358481zbMATH OpenOpenAlexFDO

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

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)

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• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
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Cited in

(19)

• Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times
• Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns
• Precise large deviations for the aggregate claims in a dependent compound renewal risk model
• 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
• 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
• The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• 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
• Optimal investment problem between two insurers with value-added service
• 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 the tail of the discounted aggregate claims with UTAI claim sizes
• 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 risk model with a general counting process and stochastic return

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