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

DOI10.1080/03610926.2013.815210zbMath1419.62297MaRDI 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 probability; Lévy process; heavy tail; renewal risk model; investment return process; two-sided linear process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P05: Applications of statistics to actuarial sciences and financial mathematics

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

Related Items

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

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