Uniform asymptotics for discounted aggregate claims in dependent multi-risk model

Dawei Lu, Lixin Song and Fuqi Li

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 4, 781-793

Abstract: In this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic return. The price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to the class of C$\mathcal {C}$, we can get some asymptotic formulae for the tail probability of n types contracts’ discounted aggregate claims and ruin probabilities, holding uniformly for some finite horizons.

Date: 2019
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DOI: 10.1080/03610926.2017.1417435

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