Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims
Ruin probability of renewal risk model with stochastic investment returns and one-sided linear time-dependent claims
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DOI：
10.1360/012016-4
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发表时间：
2016-03
期刊：
影响因子：
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通讯作者：
Guo FengLong;Wang Dingcheng;Zhang Wei
中科院分区：
文献类型：
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作者：
Guo FengLong;Wang Dingcheng;Zhang Wei
研究了一类索赔额相依且投资收益率为随机的更新风险模型。在模型中，投资收益被描述为一个几何Levy过程，而索赔额被建模为一个单边线性过程，独立和同分布的新息。此外，新息和索赔到达间隔时间相应地形成独立且同分布的随机对的序列，并且每个对服从通过给定到达间隔时间的新息的条件尾概率的渐近描述的依赖结构。当新息分布是重尾分布时，我们得到了破产概率在一定时间区域上的一致估计。
This paper considers a time-dependent renewal risk model with stochastic investment returns and dependent claim sizes. In the model, the investment returns are described as a geometric Levy process, while the claim sizes are modeled by a one-sided linear process with independent and identically distributed innovations. In addition, the innovations and claim inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, and each pair obeys a dependence structure described via the asymptotic of the conditional tail probability of the innovation given the inter-arrival time. When the innovation distribution is heavy tailed, we derive uniform estimates for ruin probabilities over certain time regions.