Uniform asymptotics for discounted aggregate claims in dependent multi-risk model. Issue 4 (16th February 2019)

• Record Type: Journal Article
• Authors: Lu, Dawei; Song, Lixin; Li, Fuqi
• Is Part Of: Communications in statistics. Volume 48:Issue 4(2019)
• Page Start: 781
• Page End: 793
• Publication Date: 2019-02-16
• Subjects: Consistently varying tail -- Dependence -- Discounted aggregate claims -- Lévy process -- Multi-risk model -- Uniformity.; 91B30 -- 60G51 -- 60K05; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2017.1417435
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: In this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic return. The price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to the class of C, we can get some asymptotic formulae for the tail probability of n types contracts' discounted aggregate claims and ruin probabilities, holding uniformly for some finite horizons.