IDEAS home Printed from https://ideas.repec.org/a/wly/apsmbi/v29y2013i3p295-313.html
   My bibliography  Save this article

Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

Author

Listed:
  • Fenglong Guo
  • Dingcheng Wang

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 one‐sided linear process with independent and identically distributed step sizes. When the step‐size distribution is heavy tailed, we establish some uniform asymptotic estimates for the ruin probabilities of this renewal risk model. Copyright © 2012 John Wiley & Sons, Ltd.

Suggested Citation

  • Fenglong Guo & Dingcheng Wang, 2013. "Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 29(3), pages 295-313, May.
    • Handle: RePEc:wly:apsmbi:v:29:y:2013:i:3:p:295-313
    DOI: 10.1002/asmb.1925
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asmb.1925
    Download Restriction: no
    File URL: https://libkey.io/10.1002/asmb.1925?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:apsmbi:v:29:y:2013:i:3:p:295-313. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1526-4025 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.