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

DOI10.1016/J.INSMATHECO.2009.12.002MaRDI QIDQ659236zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Uniform asymptotic estimates in a time-dependent renewal risk model with stochastic investment returns
• Asymptotics in a time-dependent renewal risk model with stochastic return
• Large deviations for the stochastic present value of aggregate claims in the renewal risk model
• Uniform asymptotics for discounted aggregate claims in dependent risk models

Cites work

• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
• Approximation of the tail probability of randomly weighted sums and applications
• Distributions for the risk process with a stochastic return on investments.
• Financial Modelling with Jump Processes
• Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims
• In the insurance business risky investments are dangerous
• Integrated insurance risk models with exponential Lévy investment
• Lévy Processes and Stochastic Calculus
• Moving averages with random coefficients and random coefficient autoregressive models
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On minimizing the ruin probability by investment and reinsurance
• On the renewal risk process with stochastic interest
• On the supremum of an infinitely divisible process
• Optimal dividend payouts for diffusions with solvency constraints
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Optimal portfolios when stock prices follow an exponential Lévy process
• Optimal portfolios with bounded capital at risk.
• Power tailed ruin probabilities in the presence of risky investments.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Risk theory in a stochastic economic environment
• Ruin models with investment income
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities for a~risk process with stochastic return on investments.
• Ruin theory with stochastic return on investments
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Tail asymptotics for exponential functionals of Lévy processes
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS

Cited in

(42)

• Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims
• Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns
• Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
• Optimal investment of a time-dependent renewal risk model with stochastic return
• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims
• 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
• Uniform asymptotics for discounted aggregate claims in dependent risk models
• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• An Asymptotic Result on Catastrophe Insurance Losses
• Large deviations for the stochastic present value of aggregate claims in the renewal risk model
• Ruin probabilities of a bidimensional risk model with investment
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• Large deviations for the stochastic present value of aggregate claims in the nonstandard compound renewal risk model with widely upper orthant dependent 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
• Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
• Multivariate regularly varying insurance and financial risks in multidimensional 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
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• 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
• Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Uniform Tail Asymptotics for the Sum of Two Correlated Classes with Stochastic Returns and Dependent Heavy Tails
• On the distribution tail of an integrated risk model: A numerical approach
• 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

This page was built for publication: Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659236)