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• W1976332340 abstract "In this paper we study the asymptotic tail behavior for a non-standard renewal risk model with a dependence structure and stochastic return. An insurance company is allowed to invest in financial assets such as risk-free bonds and risky stocks, and the price process of its portfolio is described by a geometric Lévy process. By restricting the claim-size distribution to the class of extended regular variation (ERV) and imposing a constraint on the Lévy process in terms of its Laplace exponent, we obtain for the tail probability of the stochastic present value of aggregate claims a precise asymptotic formula, which holds uniformly for all time horizons. We further prove that the corresponding ruin probability also satisfies the same asymptotic formula." @default.
• W1976332340 created "2016-06-24" @default.
• W1976332340 creator A5041283996 @default.
• W1976332340 date "2012-03-01" @default.
• W1976332340 modified "2023-10-02" @default.
• W1976332340 title "Asymptotics in a time-dependent renewal risk model with stochastic return" @default.
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• W1976332340 doi "https://doi.org/10.1016/j.jmaa.2011.10.012" @default.
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