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Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims

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  • Fenglong Guo
  • Dingcheng Wang

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 two-sided linear process with independent and identically distributed step sizes. When the step-size distribution is heavy tailed, the paper establishes some uniform asymptotic formulas of ruin probabilities.

Suggested Citation

  • Fenglong Guo & Dingcheng Wang, 2015. "Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 44(20), pages 4278-4306, October.
    • Handle: RePEc:taf:lstaxx:v:44:y:2015:i:20:p:4278-4306
    DOI: 10.1080/03610926.2013.815210
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