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.