Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Ke-Ang Fu and Cheuk Yin Andrew Ng

Insurance: Mathematics and Economics, 2014, vol. 56, issue C, 80-87

Abstract: Consider a continuous-time renewal risk model, in which the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. Suppose that the surplus is invested in a portfolio whose return follows a Lévy process. When the claim-size distribution is dominatedly-varying tailed, asymptotic estimates for the finite- and infinite-horizon ruin probabilities are obtained.

Keywords: Dominatedly varying tails; Lévy process; Ruin probability; Stochastic returns; The time-dependent renewal risk model (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:56:y:2014:i:c:p:80-87

DOI: 10.1016/j.insmatheco.2014.04.001

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