IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v53y2024i5p1624-1652.html
   My bibliography  Save this article

Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns

Author

Listed:
  • Lei Zou
  • Jiangyan Peng
  • Zhiquan Jiang
  • Ruonan Yang

Abstract

In this article, we consider a renewal risk model with by-claims, where the price process of the investment portfolio follows an exponential Lévy process. We further assume that the main claim is a one-sided linear process and there exists a certain dependence structure between the innovations and by-claims. In the presence of heavy tails, we obtain a series of uniform formulas in finite and infinite intervals. In order to better describe the obtained results, we carry on the numerical simulations.

Suggested Citation

  • Lei Zou & Jiangyan Peng & Zhiquan Jiang & Ruonan Yang, 2024. "Uniform asymptotics for ruin probabilities of a delayed renewal risk model with one-sided linear dependence and stochastic returns," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(5), pages 1624-1652, March.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:5:p:1624-1652
    DOI: 10.1080/03610926.2022.2107223
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2022.2107223
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2022.2107223?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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:taf:lstaxx:v:53:y:2024:i:5:p:1624-1652. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    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.