Asymptotics in a time-dependent renewal risk model with stochastic return

DOI10.1016/j.jmaa.2011.10.012zbMath1230.91076OpenAlexW1976332340MaRDI QIDQ655506

Jinzhu Li

Publication date: 4 January 2012

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.10.012

zbMATH Keywords

asymptoticsuniformityextended regular variationruin probabilityLévy processdependencerisk model

Mathematics Subject Classification ID

Related Items (31)

Optimal investment of a time-dependent renewal risk model with stochastic return ⋮ Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation ⋮ Infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times ⋮ Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models ⋮ Uniform asymptotics for discounted aggregate claims in dependent multi-risk model ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation ⋮ Asymptotics for large claims reinsurance in a time-dependent renewal risk model ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments ⋮ The finite-time ruin probability of a risk model with a general counting process and stochastic return ⋮ Asymptotics for a time-dependent by-claim model with dependent subexponential claims ⋮ Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ On a perturbed Sparre Andersen risk model with dividend barrier and dependence ⋮ Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest ⋮ Asymptotics for a bidimensional risk model with two geometric Lévy price processes ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model ⋮ Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
• A ruin model with dependence between claim sizes and claim intervals
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• On the discounted penalty function in a Markov-dependent risk model
• On the renewal risk process with stochastic interest
• Ruin models with investment income
• Ruin probability of the renewal model with risky investment and large claims
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Distributions for the risk process with a stochastic return on investments.
• Power tailed ruin probabilities in the presence of risky investments.
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Risk theory in a stochastic economic environment
• On a class of renewal risk models with a constant dividend barrier
• Ruin probabilities and penalty functions with stochastic rates of interest
• Tail asymptotics for exponential functionals of Lévy processes
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• Ruin probabilities for a~risk process with stochastic return on investments.
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• On a risk model with dependence between interclaim arrivals and claim sizes
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• Ruin theory with stochastic return on investments
• Tail probabilities for non-standard risk and queueing processes with subexponential jumps
• Lévy Processes and Stochastic Calculus
• On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest
• Exponential Behavior in the Presence of Dependence in Risk Theory

This page was built for publication: Asymptotics in a time-dependent renewal risk model with stochastic return