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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

  • Tang, Qihe
  • Wang, Guojing
  • Yuen, Kam C.
Registered author(s):

    Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same asymptotic formula holds for the finite-time and infinite-time ruin probabilities. Restricting our attention to the so-called constant investment strategy, we show how the insurer adjusts his investment portfolio to maximize the expected terminal wealth subject to a constraint on the ruin probability.

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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 46 (2010)
    Issue (Month): 2 (April)
    Pages: 362-370

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    Handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:362-370
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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