Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims

Fenglong Guo and Dingcheng Wang

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 20, 4278-4306

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.

Date: 2015
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DOI: 10.1080/03610926.2013.815210

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