Tail asymptotic of discounted aggregate claims with compound dependence under risky investment

Fenglong Guo, Dingcheng Wang and Jiangyan Peng

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 4, 810-830

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.

Date: 2019
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DOI: 10.1080/03610926.2017.1417437

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