Tail asymptotic of discounted aggregate claims with compound dependence under risky investment |
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| Authors: | Fenglong Guo Dingcheng Wang Jiangyan Peng |
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| Institution: | 1. School of Finance, Nanjing Audit University, Nanjing, China;2. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China |
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| Abstract: | This paper considers the tail asymptotic of discounted aggregate claims with compound dependence under risky investment. The price of risky investment is modeled by a geometric Lévy process, while claims are modeled by a one-sided linear process whose innovations further obeying a so-called upper tail asymptotic independence. When the innovations are heavy tailed, we derive some uniform asymptotic formulas. The results show that the linear dependence has significant impact on the tail asymptotic of discounted aggregate claims but the upper tail asymptotic independence is negligible. |
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| Keywords: | Asymptotic independence Heavy tail Investment returns Lévy process One-sided linear process |
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