INFINITE-TIME RUIN PROBABILITY OF ARE NEWAL RISK MODEL WITH EXPONENTIAL LEVY PROCESS INVESTMENT AND DEPENDENT CLAIMS AND INTER-ARRIVAL TIMES

被引：1

作者：

Liu, Rongfei ^{[1
]}

Wang, Dingcheng ^{[1
,2
]}

Peng, Jiangyan ^{[1
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Peoples R China

[2] Nanjing Audit Univ, Ctr Financial Engn, Nanjing 211815, Jiangsu, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2017年 / 13卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Asymptotic estimate; ruin probability; heavy tail; exponential Levy process investment; dependent claims and inter-arrival times; OPTIMAL PORTFOLIOS; ASYMPTOTICS; INSURANCE; RETURNS;

D O I：

10.3934/jimo.2016058

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We investigate the in finite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times. Assume that claims and corresponding inter-arrival times form a sequence of independent and identically distributed copies of a random pair (X, T) with dependent components. When the product of the claims and the discount factors of the corresponding inter-arrival times are heavy tailed, we establish an asymptotic formula for the in finite-time ruin probability without any restriction on the dependence structure of (X, T).

引用

页码：995 / 1007

页数：13