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

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  • Fenglong Guo
  • Dingcheng Wang
  • Jiangyan Peng

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.

Suggested Citation

  • Fenglong Guo & Dingcheng Wang & Jiangyan Peng, 2019. "Tail asymptotic of discounted aggregate claims with compound dependence under risky investment," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(4), pages 810-830, February.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:4:p:810-830
    DOI: 10.1080/03610926.2017.1417437
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    Cited by:

    1. Guo, Fenglong, 2022. "Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors," Applied Mathematics and Computation, Elsevier, vol. 413(C).

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