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

DOI10.1360/N012014-00052MaRDI QIDQ5017901zbMATH OpenOpenAlexFDO

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

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)

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• 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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