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

Authors

  • Fenglong Guo,

    1. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China
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  • Dingcheng Wang

    Corresponding author
    1. Nanjing Audit University, Nanjing, China
    2. Australian National University, Canberra, Australia
    • School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China
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Correspondence to: Dingcheng Wang, Center of Financial Engineering, Nanjing Audit University, Nanjing, China.

E-mail: wangdc@nau.edu.cn

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.

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