Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

DOI10.1016/J.INSMATHECO.2009.12.002zbMATH Open1231.91414OpenAlexW2091212756MaRDI QIDQ659236FDOQ659236

Authors: Qihe Tang, Guojing Wang, Kam Chuen Yuen 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.12.002

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zbMATH Keywords

asymptoticsregular variationportfolio optimizationruin probabilityuniformityconstant investment strategyLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Renewal theory (60K05)

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Cited In (42)

• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• Optimal investment of a time-dependent renewal risk model with stochastic return
• Tail asymptotic of discounted aggregate claims with compound dependence under risky investment
• Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• An Asymptotic Result on Catastrophe Insurance Losses
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Large deviations for the stochastic present value of aggregate claims in the renewal risk model
• Ruin probabilities of a bidimensional risk model with investment
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent claims
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
• Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments
• Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• Uniform asymptotics for the tail of the discounted aggregate claims with UTAI claim sizes
• Uniform asymptotics for discounted aggregate claims in dependent multi-risk model
• Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
• Multivariate regularly varying insurance and financial risks in multidimensional risk models
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation
• Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
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• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
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• Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
• Asymptotics for ruin probabilities of a dependent delayed-claim risk model with general investment returns and diffusion
• 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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