Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims |
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Authors: | Fenglong Guo |
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Institution: | Jiangsu Key Laboratory of Financial Engineering, Nanjing Audit University, Nanjing, China |
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Abstract: | This paper investigates the ruin probabilities of a renewal risk model with stochastic investment returns and dependent claim sizes. The investment is described as a portfolio of one risk-free asset and one risky asset whose price process is an exponential Lévy process. The claim sizes are assumed to follow a two-sided linear process with independent and identically distributed step sizes. When the step-size distribution is heavy tailed, the paper establishes some uniform asymptotic formulas of ruin probabilities. |
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Keywords: | Heavy tail Investment return process Lévy process Renewal risk model Ruin probability Two-sided linear process |
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