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

DOI10.1016/j.insmatheco.2014.04.001zbMath1304.60098MaRDI QIDQ2513458

Cheuk Yin Andrew Ng, Ke Ang Fu

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.04.001

zbMATH Keywords

ruin probability; Lévy process; dominatedly varying tails; stochastic returns; time-dependent renewal risk model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F10: Large deviations

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

The limit property of a risk model based on entrance processes, Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments, Asymptotics for a time-dependent by-claim model with dependent subexponential claims, Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns, Optimal investment of a time-dependent renewal risk model with stochastic return, Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure, The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation, Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims, Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns, Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times, Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times, The finite-time ruin probability of a risk model with a general counting process and stochastic return

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