Uniform asymptotic estimates in a time-dependent renewal risk model with stochastic investment returns

DOI10.1360/N012014-00052zbMATH Open1488.91090OpenAlexW2315239277MaRDI QIDQ5017901FDOQ5017901

Authors: Sheng Cui, Tao Jiang, Ruixing Ming 

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012014-00052

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zbMATH Keywords

risk modelheavy tailLévy processuniform asymptotic estimation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (9)

• Optimal investment of a time-dependent renewal risk model with stochastic return
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
• Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums

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