Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns

Lei Zou, Jiangyan Peng, Zhiquan Jiang and Ruonan Yang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 5, 1624-1652

Abstract: In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Lévy process. We further assume that the main claim is a one-sided linear process and there exists a certain dependence structure between the innovations and by-claims. In the presence of heavy tails, we obtain a series of uniform formulas in finite and infinite intervals. In order to better describe the obtained results, we carry on the numerical simulations.

Date: 2024
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DOI: 10.1080/03610926.2022.2107223

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