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

Qihe Tang, Guojing Wang and Kam C. Yuen

Insurance: Mathematics and Economics, 2010, vol. 46, issue 2, 362-370

Abstract: Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same asymptotic formula holds for the finite-time and infinite-time ruin probabilities. Restricting our attention to the so-called constant investment strategy, we show how the insurer adjusts his investment portfolio to maximize the expected terminal wealth subject to a constraint on the ruin probability.

Keywords: Asymptotics; Constant; investment; strategy; Levy; process; Portfolio; optimization; Regular; variation; Ruin; probability; Uniformity (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:46:y:2010:i:2:p:362-370

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