September 2014 Uniform asymptotics for discounted aggregate claims in dependent risk models
Yang Yang, Kaiyong Wang, Dimitrios G. Konstantinides
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J. Appl. Probab. 51(3): 669-684 (September 2014). DOI: 10.1239/jap/1409932666

Abstract

In this paper we consider some nonstandard renewal risk models with some dependent claim sizes and stochastic return, where an insurance company is allowed to invest her/his wealth in financial assets, and the price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to some classes of heavy-tailed distributions and a constraint is imposed on the Lévy process in terms of its Laplace exponent, we obtain some asymptotic formulae for the tail probability of discounted aggregate claims and ruin probabilities holding uniformly for some finite or infinite time horizons.

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Yang Yang. Kaiyong Wang. Dimitrios G. Konstantinides. "Uniform asymptotics for discounted aggregate claims in dependent risk models." J. Appl. Probab. 51 (3) 669 - 684, September 2014. https://doi.org/10.1239/jap/1409932666

Information

Published: September 2014
First available in Project Euclid: 5 September 2014

zbMATH: 1303.91097
MathSciNet: MR3256219
Digital Object Identifier: 10.1239/jap/1409932666

Subjects:
Primary: 91B30
Secondary: 60G51 , 60K05

Keywords: consistently varying tail , Dependence , Discounted aggregate claim , dominatedly varying tail , Lévy process , long tail , uniformity

Rights: Copyright © 2014 Applied Probability Trust

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Vol.51 • No. 3 • September 2014
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