Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments

DOI10.1239/JAP/1354716649zbMATH Open1255.91180OpenAlexW1994485761MaRDI QIDQ4903034FDOQ4903034

Authors: Xuemiao Hao, Qihe Tang 

Publication date: 19 January 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1354716649

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zbMATH Keywords

tail probabilitystochastic difference equationfinite-time and infinite-time ruin probabilities(extended) regular variationLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Stochastic difference equations (39A50)

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Cited In (20)

• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• A new family of heavy tailed distributions with an application to the heavy tailed insurance loss data
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• An Asymptotic Result on Catastrophe Insurance Losses
• Risk- and value-based management for non-life insurers under solvency constraints
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Large portfolio losses in a turbulent market
• On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
• Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
• Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Asymptotics for a discrete-time risk model with the emphasis on financial risk
• Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Distribution tails of a history-dependent random linear recursion
• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors

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