Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return

Yang Yang ^[1] ; Zhimin Zhang ^[2] ; Tao Jiang ^[3] ; Dongya Cheng ^[4]
1. [1] Nanjing Audit University
  
  Nanjing Audit University
  
  China
2. [2] Chongqing University
  
  Chongqing University
  
  China
3. [3] Zhejiang Gongshang University
  
  Zhejiang Gongshang University
  
  China
4. [4] Soochow University
  
  Soochow University
  
  China
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Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 287, Nº 1 (15 October 2015), 2015, págs. 32-43
Idioma: inglés
DOI: 10.1016/j.cam.2015.03.020
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Resumen
- In this paper, we consider a time-dependent risk model, where an insurance company is allowed to invest its wealth in financial assets and the price process of the investment portfolio is described as a geometric Lévy process. When claim sizes have dominatedly varying tails, we obtain some asymptotic formulae for ruin probabilities holding uniformly for some finite or infinite time horizons. We further perform some simulations to check the accuracy of our formulae.